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:Bernardo Reckziegel [aut, cre]

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ffp.pdf |ffp.html✨
ffp/json (API)
NEWS

# 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:

db - Dataset used in Historical Scenarios with Fully Flexible Probabilities ('matrix' format).
db_tbl - Dataset used in Historical Scenarios with Fully Flexible Probabilities ('tibble' format).

On CRAN:

bayesian-inference entropy-pooling flexible-probabilities portolio-optimization risk-management scenarios views

29 exports 12 stars 1.76 score 49 dependencies 1 mentions 32 scripts 272 downloads

Last updated 2 years agofrom:da655b211d. Checks:OK: 7. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 18 2024
R-4.5-win	OK	Sep 18 2024
R-4.5-linux	OK	Sep 18 2024
R-4.4-win	OK	Sep 18 2024
R-4.4-mac	OK	Sep 18 2024
R-4.3-win	OK	Sep 18 2024
R-4.3-mac	OK	Sep 18 2024

Exports:as_ffp bind_probs bind_views bootstrap_scenarios crisp double_decay empirical_stats ens entropy_pooling exp_decay ffp ffp_moments fit_to_moments half_life is_ffp kernel_entropy kernel_normal new_ffp relative_entropy scenario_density scenario_histogram view_on_copula view_on_correlation view_on_covariance view_on_joint_distribution view_on_marginal_distribution view_on_mean view_on_rank view_on_volatility

Dependencies:assertthat cli colorspace cpp11 crayon distributional dplyr fansi farver forcats generics ggdist ggplot2 glue gtable isoband labeling lattice lifecycle lubridate magrittr MASS Matrix mgcv munsell mvtnorm NlcOptim nlme nloptr numDeriv pillar pkgconfig purrr quadprog R6 RColorBrewer Rcpp rlang scales stringi stringr tibble tidyr tidyselect timechange utf8 vctrs viridisLite withr

How does EP work?

Bernardo Reckziegel

Rendered fromhow-does-EP-work.Rmdusingknitr::rmarkdownon Sep 18 2024.

Last update: 2022-09-28
Started: 2022-09-28

Views

Bernardo Reckziegel

Rendered fromviews.Rmdusingknitr::rmarkdownon Sep 18 2024.

Last update: 2022-09-29
Started: 2022-09-28

Citation

Development and contributors

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