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 + fileLICENSE |
| 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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