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PCRA: Companion to Portfolio Construction and Risk Analysis

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

Documentation:

Reference manual: PCRA.pdf
Vignettes: Introduction to CRSP Stocks and SPGMI Factors in PCRA

Downloads:

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 dependencies:

Reverse suggests: facmodCS, PortfolioAnalytics

Linking:

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.