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>.

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
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

Documentation:

Reference manual: ffp.pdf
Vignettes: How does EP work?
Views

Downloads:

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
Old sources: ffp archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=ffp to link to this page.