Software

R packages in CRAN

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

  • imputeFin: Imputation of Financial Time Series with Missing Values

  • fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails

  • portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

  • spectralGraphTopology: Learning Graphs from Data via Spectral Constraints

  • riskParityPortfolio: Design of Risk Parity Portfolios

  • sparseIndexTracking: Design of Portfolio of Stocks to Track an Index

  • sparseEigen: Computation of Sparse Eigenvectors of a Matrix