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A Framework for Investment Strategy Simulation
Provides a framework for performing discrete (share-level) simulations of investment strategies. Simulated portfolios optimize exposure to an input signal subject to constraints such as position size and factor exposure. For background see L. Chincarini and D. Kim (2010, ISBN:978-0-07-145939-6) "Quantitative Equity Portfolio Management".
- Version0.2.0
- R version≥ 3.5.0
- LicenseGPL-3
- Needs compilation?No
- Last release11/19/2020
Documentation
Team
Jeff Enos
David Kane
Show author detailsRolesAuthorBen Czekanski
Show author detailsRolesContributorRobert Hoover
Show author detailsRolesContributorJack Luby
Show author detailsRolesContributorNils Wallin
Show author detailsRolesContributor
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- Depends1 package
- Imports12 packages
- Suggests11 packages