PerformanceAnalytics

PerformanceAnalytics: Econometric tools for performance and risk analysis: Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.


References in zbMATH (referenced in 1 article )

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  1. Arratia, Argimiro: Computational finance. An introductory course with R (2014)