Major Improvements to the factorAnalytics package
- Mentors
- Eric Zivot, Brian G. Peterson, Rohit Arora, Peter Carl, martinrd
- Organization
- R project for statistical computing
This is a proposal to add and improve the functionality, usability, and graphics to each of the three main factor model types (fundamental, time series, statistical), by providing concise risk and performance reports and enhance the capabilities of existing functions in the factorAnalytics R package and thereby bring it close to the existing commercial portfolio optimization and risk management products.