# Companion to Portfolio Construction and Risk Analysis

## Documentation for package ‘PCRA’ version 1.3.1

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Code demos. Use demo() to run them.

## Help Pages

abbreviate_name | Abbreviate a vector of names
barplotWts | A Barplot of a Set of Portfolio Weights
bootEfronts | Bootstrapped Efficient Frontiers
buildPortfolios | Build a List of Portfolio Specifications (Default Example)
BXMdata | CBOE S&P 500 BuyWrite Index
CboeOptionStrategies | CboeOptionStrategies
chart.Efront | Create Efficient Frontier
cleanOutliers | Clean Returns Outliers Effectively
ConferenceBoardETI | ConferenceBoardETI
crsp.returns8 | CRSP Returns for 8 stocks in 4 cap groups
CRSPLiquidMktCapGrpsCnts | CRSP Stocks Cap Groups Counts
datFF3W | Fama-French 3-Factor Model Weekly Time Series
datFF4W | Fama-French 4-Factor Model Weekly Time Series
divHHI | HHI Based Diversification Index
ellipsesPlotPCRA.covfm | Overlaid Correlations Ellipses Plots
ewmaMeanVol | EWMA Mean and Volatility
factorsSPGMI | SPGMI Data 14 Factors for 294 Stocks
FRBinterestRates | Federal Reserve Board Interest Rates
getPCRAData | Download CRSP and SPGMI Data
gfunds5 | Five German Investment Funds
HFstrategies | Hedge Fund Strategies Returns
invensysEPS | Invensys Earnings per Share
KRest | Kurtosis Estimator
levgLongShort | Long Short Portfolio Leverage
MarketData | Global Baskets of Equity and Bonds
mathEfront | Efficient Frontiers from Returns
mathEfrontCashRisky | Math Efficient Frontier: Cash and Risky Assets
mathEfrontRisky | Efficient Frontier of Risky Stocks
mathEfrontRiskyMuCov | Efficient Frontier
mathGmv | Global Minimum Variance Portfolio (GMV)
mathGmvMuCov | Global Minimum Variance Portfolios From Mu and Cov
mathTport | Tangency Portfolio Weights
mathWtsEfrontRisky | Efficient Frontier Portfolio Weights Vectors
mathWtsEfrontRiskyMuCov | Efficient Frontier Portfolio Weights Vectors
meanReturns4Types | Four Types of Mean Returns
minVarCashRisky | Minimum Variance Portfolio
minVarRiskyLO | Title Minimum Variance Long-Only Risky Assets Portfolio
opt.outputMvoPCRA | Optimal Portfolio Weights and Performance
plotLSandHuberRobustSFM | Plot LS and Huber SFM Fits
plotLSandRobustSFM | Robust and Least Square Single Factor Model (SFM) Fits
psiHuber | Huber psi function
qqnormDatWindat | qqnormDatWindat
retDD | CRSP Returns of Stock with Ticker DD
retEDS | CRSP Returns of Stock with Ticker EDS
retFNB | CRSP Returns of Stock with Ticker FNB
retKBH | CRSP Returns of Stock with Ticker KBH
retMER | CRSP Returns of Stock with Ticker MER
retOFG | CRSP Returns of Stock with Ticker OFG
retPSC | CRSP Returns of Stock with Ticker PSC
returnsCRSPxts | Select CRSP Stocks Returns
retVHI | CRSP Returns of Stock with Ticker VHI
retWTS | CRSP Returns of Stock with Ticker WTS
runMultipleBacktests | Run Multiple Portfolio Backtests and Plot
runPortfolioBacktest | Run Portfolio Backtest and Plot
selectCRSPandSPGMI | Select and merge data from the stocksCRSP and factorsSPGMI data sets
ShortDurationCredit | ShortDurationCredit
SKest | Skewness estimator
SP400Industrials | SP400Industrials
SP425Industrials | SP425Industrials
SP500 | SP500
SP500data | SP500data
SP500from1967to2007 | SP500from1967to2007
SPIndustrials | SPIndustrials
stocksCRSPdaily | CRSP daily stocks data for 294 stocks
stocksCRSPmonthly | stocksCRSPmonthly
stocksCRSPweekly | CRSP weekly stocks data for 294 stocks
stocksCRSPxts | Select CRSP Stocks Returns
to_monthly | Function to convert from daily to weekly returns.
to_weekly | Function to convert from daily to weekly returns.
transferCoef | Transfer Coefficent
tsPlotMP | Lattice Multi-Panel Time Series Plots
turnOver | Portfolio Turnover
update_dev_pkg | Update to Developer version on Github that have access to additional functions and data
USTreasuryTradeweb | USTreasuryTradeweb
winsorize | Winsorize Data
winsorMean | Winsorized Mean