rrv: Random Return Variables
This package is partly based on Markowitz (1952), however
considers empirical distributions. There's a strong emphasis on
modelling conditional portfolio returns as functions of weight.
Various "conditional parameters" are considered, including
expected returns and quantile returns.
| Version: |
0.4.1 |
| Depends: |
s3x (≥ 0.3.0), mecdf (≥ 0.6.0) |
| Published: |
2011-10-27 |
| Author: |
Charlotte Maia |
| Maintainer: |
Charlotte Maia <maiagx at gmail.com> |
| License: |
GPL (≥ 2) |
| In views: |
Finance |
| CRAN checks: |
rrv results |
Downloads: