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.
- Version1.2
- R version≥ 4.0.0
- LicenseGPL-2
- Needs compilation?No
- Last release08/30/2023
Documentation
Team
Doug Martin
Alexios Galanos
Show author detailsRolesContributorKirk Li
Show author detailsRolesAuthor, ContributorJon Spinney
Show author detailsRolesContributorThomas Philips
Show author detailsRolesContributor
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- Imports12 packages
- Suggests1 package
- Reverse Suggests2 packages