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]