Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.
| Version: | 0.2.2 |
| Depends: | R (≥ 2.10) |
| Imports: | assertthat (≥ 0.2.1), dplyr (≥ 1.0.10), forcats (≥ 0.5.2), ggdist (≥ 3.2.0), ggplot2 (≥ 3.3.6), lubridate (≥ 1.8.0), magrittr (≥ 2.0.3), methods, mvtnorm (≥ 1.1-3), purrr (≥ 0.3.4), rlang (≥ 1.0.6), scales (≥ 1.2.1), stringr (≥ 1.4.1), stats, tibble (≥ 3.1.8), tidyr (≥ 1.2.1), vctrs (≥ 0.4.1), nloptr (≥ 2.0.3), crayon, NlcOptim (≥ 0.6) |
| Suggests: | copula, covr, ghyp, knitr (≥ 1.40), markdown, rmarkdown, roxygen2, spelling, testthat (≥ 3.1.4), xts (≥ 0.12.1) |
| Published: | 2022-09-29 |
| DOI: | 10.32614/CRAN.package.ffp |
| Author: | Bernardo Reckziegel [aut, cre] |
| Maintainer: | Bernardo Reckziegel <bernardo_cse at hotmail.com> |
| BugReports: | https://github.com/Reckziegel/FFP/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/Reckziegel/FFP |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README, NEWS |
| CRAN checks: | ffp results |
| Reference manual: | ffp.html , ffp.pdf |
| Vignettes: |
How does EP work? (source, R code) Views (source, R code) |
| Package source: | ffp_0.2.2.tar.gz |
| Windows binaries: | r-devel: ffp_0.2.2.zip, r-release: ffp_0.2.2.zip, r-oldrel: ffp_0.2.2.zip |
| macOS binaries: | r-release (arm64): ffp_0.2.2.tgz, r-oldrel (arm64): ffp_0.2.2.tgz, r-release (x86_64): ffp_0.2.2.tgz, r-oldrel (x86_64): ffp_0.2.2.tgz |
| Old sources: | ffp archive |
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