Package: DiversificationR 0.1.0
DiversificationR: Econometric Tools to Measure Portfolio Diversification
Diversification is one of the most important concepts in portfolio management. This framework offers scholars, practitioners and policymakers a useful toolbox to measure diversification. Specifically, this framework provides recent diversification measures from the recent literature. These diversification measures are based on the works of Rudin and Morgan (2006) <doi:10.3905/jpm.2006.611807>, Choueifaty and Coignard (2008) <doi:10.3905/JPM.2008.35.1.40>, Vermorken et al. (2012) <doi:10.3905/jpm.2012.39.1.067>, Flores et al. (2017) <doi:10.3905/jpm.2017.43.4.112>, Calvet et al. (2007) <doi:10.1086/524204>, and Candelon, Fuerst and Hasse (2020).
Authors:
DiversificationR_0.1.0.tar.gz
DiversificationR_0.1.0.zip(r-4.5)DiversificationR_0.1.0.zip(r-4.4)DiversificationR_0.1.0.zip(r-4.3)
DiversificationR_0.1.0.tgz(r-4.4-any)DiversificationR_0.1.0.tgz(r-4.3-any)
DiversificationR_0.1.0.tar.gz(r-4.5-noble)DiversificationR_0.1.0.tar.gz(r-4.4-noble)
DiversificationR_0.1.0.tgz(r-4.4-emscripten)DiversificationR_0.1.0.tgz(r-4.3-emscripten)
DiversificationR.pdf |DiversificationR.html✨
DiversificationR/json (API)
| # Install 'DiversificationR' in R: |
| install.packages('DiversificationR', repos = c('https://jbhasse.r-universe.dev', 'https://cloud.r-project.org')) |
- data_efficient_portfolios_returns - Efficient portfolios returns
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 4 years agofrom:6a1d5bd6b3. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 17 2024 |
| R-4.5-win | OK | Nov 17 2024 |
| R-4.5-linux | OK | Nov 17 2024 |
| R-4.4-win | OK | Nov 17 2024 |
| R-4.4-mac | OK | Nov 17 2024 |
| R-4.3-win | OK | Nov 17 2024 |
| R-4.3-mac | OK | Nov 17 2024 |
Exports:f_circular_bloc_bootstrapf_diversification_measurementf_RSRLf_SRf_test_RSRLf_VaR
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Efficient portfolios returns | data_efficient_portfolios_returns |
| Function computing a circular block bootstrap | f_circular_bloc_bootstrap |
| Function computing portfolio diversification measures | f_diversification_measurement |
| Function computing the RSRL or the RSRL | f_RSRL |
| Function computing the Sharpe ratio or one of its modified version | f_SR |
| Function computing coefficients and significance levels of the RSRL and mRSRL | f_test_RSRL |
| Function computing Value-at-Risk and modified Value-at-Risk | f_VaR |
