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A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.
Version: | 1.2 |
Depends: | R (≥ 4.0.0) |
Imports: | PerformanceAnalytics, PortfolioAnalytics, boot, methods, xts, zoo, lattice, corpcor, data.table, quadprog, RobStatTM, robustbase, R.cache |
Suggests: | R.rsp |
Published: | 2023-08-30 |
DOI: | 10.32614/CRAN.package.PCRA |
Author: | Doug Martin [cre, aut], Alexios Galanos [ctb], Kirk Li [aut, ctb], Jon Spinney [ctb], Thomas Philips [ctb] |
Maintainer: | Doug Martin <martinrd3d at gmail.com> |
License: | GPL-2 |
Copyright: | (c) 2022-2023 |
NeedsCompilation: | no |
Materials: | README |
CRAN checks: | PCRA results |
Reference manual: | PCRA.pdf |
Vignettes: |
Introduction to CRSP Stocks and SPGMI Factors in PCRA |
Package source: | PCRA_1.2.tar.gz |
Windows binaries: | r-devel: PCRA_1.2.zip, r-release: PCRA_1.2.zip, r-oldrel: PCRA_1.2.zip |
macOS binaries: | r-release (arm64): PCRA_1.2.tgz, r-oldrel (arm64): PCRA_1.2.tgz, r-release (x86_64): PCRA_1.2.tgz, r-oldrel (x86_64): PCRA_1.2.tgz |
Old sources: | PCRA archive |
Reverse suggests: | facmodCS, PortfolioAnalytics |
Please use the canonical form https://CRAN.R-project.org/package=PCRA to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.