Designed to aid both academic researchers and asset managers in conducting factor based portfolio sorts.
Provides functionality to sort assets into portfolios for up to three factors via a conditional or unconditional sorting procedure.
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Alex Dickerson, 9 months ago
Browse source code at
Alex Dickerson [aut,cre]
Jonathan Spohnholtz [aut,cre]
GPL (>= 2)
Depends on xts, zoo
Suggests PortfolioAnalytics, PerformanceAnalytics, knitr
See at CRAN