Software of Daniel P. Palomar

R packages in CRAN

• highOrderPortfolios: Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis [GitHub]
  
• 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]