ffp
Fully Flexible Probabilities for Stress Testing and Portfolio Construction
Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) doi:10.2139/ssrn.1696802.
- Version0.2.2
- R version≥ 2.10
- LicenseMIT
- LicenseLICENSE
- Needs compilation?No
- Languageen-US
- Last release09/29/2022
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Team
Bernardo Reckziegel
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- Imports18 packages
- Suggests10 packages