The factorAnalytics package contains fitting and analysis methods for the three main types of factor models used in conjunction with portfolio construction, optimization and risk management, namely fundamental factor models, time series factor models and statistical factor models. The purpose of this project is to add key improvements to the package that will make it its basic features and capabilities close to those of commercial portfolio optimization and risk management products.
This repository was created as a part of Google Summer of Code(GSoC) 2016, to add new functionalities and extend the existing functions to the factorAnalytics package forked from R-forge.
Detailed information on newly added functionality and use can be found by reading the ffm vignette
To get started, you can install the package from github using devtools.
library(devtools)
install_github("avinashacharya/factorAnalytics")R Script and slides used in Prof. Douglas Martin's "Fundamental Factor Models in FactorAnalytics" Pre-Conference Seminar.
Click here for the background slide deck for the Boston useR group talk by Prof. Doug Martin.