Factor-Based Portfolio Sorts

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.


Reference manual

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0.1.0 by Alex Dickerson, 2 years ago

Browse source code at https://github.com/cran/portsort

Authors: Alex Dickerson [aut,cre] , Jonathan Spohnholtz [aut,cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports stats

Depends on xts, zoo

Suggests PortfolioAnalytics, PerformanceAnalytics, knitr

See at CRAN