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Initial release of portfolioBacktest version 0.1.1 (2019-11-22)
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@dppalomar dppalomar released this 22 Nov 15:13
· 112 commits to master since this release
v0.1.1
227d875

  • Initial release is on CRAN.

  • It includes three functions for heavy tails fitting: fit_mvt(), fit_Tyler(), and fit_Cauchy().

  • Vignette illustrates its use and comparison with existing packages.

  • Tests are included.

  • fit_mvt() can deal with NAs and a factor model structure on the covariance matrix.

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