Provides a framework for performing discrete (share-level) simulations of
investment strategies. Simulated portfolios optimize exposure to an input signal subject
to constraints such as position size and factor exposure. For background see L. Chincarini
and D. Kim (2010, ISBN:978-0-07-145939-6) "Quantitative Equity Portfolio Management".
| Version: |
0.2.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
R6, Matrix, Rglpk, dplyr, tidyr, arrow, lubridate, rlang, yaml, ggplot2, tibble, methods |
| Suggests: |
testthat, knitr, rmarkdown, shiny, shinyFiles, shinyjs, DT, Rsymphony, officer, flextable, plotly |
| Published: |
2020-11-19 |
| DOI: |
10.32614/CRAN.package.strand |
| Author: |
Jeff Enos [cre, aut, cph],
David Kane [aut],
Ben Czekanski [ctb],
Robert Hoover [ctb],
Jack Luby [ctb],
Nils Wallin [ctb] |
| Maintainer: |
Jeff Enos <jeffrey.enos at gmail.com> |
| BugReports: |
https://github.com/strand-tech/strand/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/strand-tech/strand |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| In views: |
Finance |
| CRAN checks: |
strand results |