Views on Expected Returns | Views on Volatility | Views on Correlation | Views on Relative Performance | Views on Marginal Distribution | Views on Copulas
Package: ffp 0.2.2.9000
ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction
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>.
Authors:
ffp_0.2.2.9000.tar.gz
ffp_0.2.2.9000.zip(r-4.7)ffp_0.2.2.9000.zip(r-4.6)ffp_0.2.2.9000.zip(r-4.5)
ffp_0.2.2.9000.tgz(r-4.6-any)ffp_0.2.2.9000.tgz(r-4.5-any)
ffp_0.2.2.9000.tar.gz(r-4.7-any)ffp_0.2.2.9000.tar.gz(r-4.6-any)
ffp_0.2.2.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
ffp/json (API)
| # Install 'ffp' in R: |
| install.packages('ffp', repos = c('https://reckziegel.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/reckziegel/ffp/issues
Datasets:
bayesian-inferenceentropy-poolingflexible-probabilitiesportolio-optimizationrisk-managementscenariosviews
Last updated from:da655b211d. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 166 | ||
| source / vignettes | OK | 194 | ||
| linux-release-x86_64 | OK | 151 | ||
| macos-release-arm64 | OK | 138 | ||
| macos-oldrel-arm64 | OK | 163 | ||
| windows-devel | OK | 105 | ||
| windows-release | OK | 101 | ||
| windows-oldrel | OK | 110 | ||
| wasm-release | OK | 118 |
Exports:as_ffpbind_probsbind_viewsbootstrap_scenarioscrispdouble_decayempirical_statsensentropy_poolingexp_decayffpffp_momentsfit_to_momentshalf_lifeis_ffpkernel_entropykernel_normalnew_ffprelative_entropyscenario_densityscenario_histogramview_on_copulaview_on_correlationview_on_covarianceview_on_joint_distributionview_on_marginal_distributionview_on_meanview_on_rankview_on_volatility
Dependencies:assertthatclicpp11crayondistributionaldplyrfarverforcatsgenericsggdistggplot2gluegtableisobandlabelinglifecyclelubridatemagrittrMASSmvtnormNlcOptimnloptrnumDerivpillarpkgconfigpurrrquadprogR6RColorBrewerRcpprlangS7scalesstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr
Views
Last update: 2022-09-29
Started: 2022-09-28
How does EP work?
Last update: 2022-09-28
Started: 2022-09-28
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Inspection of a 'ffp' object with ggplot2 | autoplot.ffp plot.ffp |
| Stack Flexible Probabilities | bind_probs |
| Stack Different Views | bind_views |
| Flexible Probabilities Driven Bootstrap | bootstrap_scenarios bootstrap_scenarios.data.frame bootstrap_scenarios.matrix bootstrap_scenarios.numeric bootstrap_scenarios.tbl bootstrap_scenarios.ts bootstrap_scenarios.xts |
| Full Information by Market Conditioning | crisp crisp.data.frame crisp.default crisp.matrix crisp.numeric crisp.tbl_df crisp.ts crisp.xts |
| Dataset used in Historical Scenarios with Fully Flexible Probabilities ('matrix' format). | db |
| Dataset used in Historical Scenarios with Fully Flexible Probabilities ('tibble' format). | db_tbl |
| Flexible Probabilities using Partial Information | double_decay double_decay.data.frame double_decay.default double_decay.matrix double_decay.numeric double_decay.tbl double_decay.ts double_decay.xts |
| Summary Statistics for Empirical Distributions | empirical_stats empirical_stats.data.frame empirical_stats.default empirical_stats.matrix empirical_stats.numeric empirical_stats.tbl_df empirical_stats.ts empirical_stats.xts |
| Effective Number of Scenarios | ens |
| Numerical Entropy Minimization | entropy_pooling |
| Full Information by Exponential Decay | exp_decay exp_decay.data.frame exp_decay.default exp_decay.matrix exp_decay.numeric exp_decay.tbl exp_decay.ts exp_decay.xts |
| Manipulate the 'ffp' Class | as_ffp as_ffp.default as_ffp.integer ffp is_ffp |
| Moments with Flexible Probabilities | ffp_moments ffp_moments.data.frame ffp_moments.default ffp_moments.matrix ffp_moments.numeric ffp_moments.tbl_df ffp_moments.xts |
| Half-Life Calculation | half_life |
| Partial Information Kernel-Damping | kernel_entropy kernel_entropy.data.frame kernel_entropy.default kernel_entropy.matrix kernel_entropy.numeric kernel_entropy.tbl_df kernel_entropy.ts kernel_entropy.xts |
| Full Information by Kernel-Damping | kernel_normal kernel_normal.data.frame kernel_normal.default kernel_normal.matrix kernel_normal.numeric kernel_normal.tbl_df kernel_normal.ts kernel_normal.xts |
| Relative Entropy | relative_entropy |
| Plot Scenarios | scenario_density scenario_histogram |
| Views on Copulas | view_on_copula view_on_copula.default view_on_copula.matrix view_on_copula.tbl_df view_on_copula.xts |
| Views on Correlation Structure | view_on_correlation view_on_correlation.default view_on_correlation.matrix view_on_correlation.tbl_df view_on_correlation.xts |
| Views on Joint Distribution | view_on_joint_distribution view_on_joint_distribution.default view_on_joint_distribution.matrix view_on_joint_distribution.tbl_df view_on_joint_distribution.xts |
| Views on Marginal Distribution | view_on_marginal_distribution view_on_marginal_distribution.default view_on_marginal_distribution.matrix view_on_marginal_distribution.tbl_df view_on_marginal_distribution.xts |
| Views on Expected Returns | view_on_mean view_on_mean.default view_on_mean.matrix view_on_mean.tbl_df view_on_mean.xts |
| Views on Relative Performance | view_on_rank view_on_rank.default view_on_rank.matrix view_on_rank.tbl_df view_on_rank.xts |
| Views on Volatility | view_on_volatility view_on_volatility.default view_on_volatility.matrix view_on_volatility.tbl_df view_on_volatility.xts |
