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  Web page of Daniel P. Palomar

Software of Daniel P. Palomar

R packages in CRAN

  • imputeFin: Imputation of Financial Time Series with Missing Values [GitHub]
  • fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails [GitHub]
  • portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets [GitHub]
  • spectralGraphTopology: Learning Graphs from Data via Spectral Constraints [GitHub]
  • riskParityPortfolio: Design of Risk Parity Portfolios [GitHub] [Python version]
                  Featured in R-bloggers and RStudio.
                  Listed in: CRAN Task View on Empirical Finance and awesome-quant.
  • sparseIndexTracking: Design of Portfolio of Stocks to Track an Index [GitHub]
                  Listed in: awesome-quant.
  • sparseEigen: Computation of Sparse Eigenvectors of a Matrix [GitHub]
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