r-PCRA

Description

Companion to Portfolio Construction and Risk Analysis.

Description

A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.

README.md

cran.r-project.org

This PCRA R package is a companion to the book Robust Portfolio Construction and Risk Analysis by R. Douglas Martin, Thomas K. Philips, Stoyan Stoyanov, Bernd Scherer and Kirk Li, scheduled for publication by Springer in 2024.

The paper "Robust Statistics for Portfolio Construction and Analysis" by R. Douglas Martin, Stoyan V. Stoyanov, Kirk Li and Mahmoud Shammaa, will be published by The Journal of Portfolio Management in September 2023. The Abstract for the paper is available at Paper Abstract.

The R script file RobustStatisticsForPortfoliosJPM2023.R for reproducing most of the Figures and Tables in the above paper is available in the PCRA package folder PCRA/demo. Download that R script by going to PCRA/demo and double clicking on the file, which then allows you to either click on the "Download raw file" link or the "Copy raw file" link. If you have RStudio installed, the first choice may open the file in RStudio. Otherwise you can paste the file into an empty R script.

If you have any problems with the code, please send emails to both Doug Martin at [email protected] and Kirk Li at [email protected]. We will post responses in this README file.

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