DESCRIPTION

Package: Meucci
Type: Package
Title: Collection of functionality ported from the MATLAB code of Attilio
    Meucci.
Version: 0.3
Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
Author: 
    Attilio Meucci, Ram Ahluwalia, David Ardia, Xavier Valls, Brian Peterson, Manan Shah 
Maintainer: "David Ardia" <David.Ardia@fsa.ulaval.ca>
Description: Attilio Meucci is a thought leader in advanced risk and portfolio
    management. His innovations include Entropy Pooling (technique for fully
    flexible portfolio construction), Factors on Demand (on-the-fly factor
    model for optimal hedging), Effective Number of Bets (entropy-eigenvalue
    statistic for diversification management), Fully Flexible Probabilities
    (technique for on-the-fly stress-test and estimation without re-pricing),
    and Copula-Marginal Algorithm (algorithm to generate panic copulas).
    Attilio is somewhat rare in the world of financial research in that he
    regularly posts code along with his working papers.  Unfortunately for
    those of us using R, he prefers to code in Matlab.  Some of that code
    requires Matlab's additional Optimization Toolkit. This package is the
    result of a Google Summer of Code project in 2012 and 2013 that seeks to
    convert a subset of his Matlab code to R to make it more widely accessible
    to R users.  All of Meucci's original MATLAB source is available on
    www.symmys.com.  That code should be considered the reference code that
    this package seeks to port to R.  This package remains under development
    (and likely will as long as Attilio keeps publishing code), and any and all
    feedback is appreciated.
Depends:
    R (>= 2.14.0),
    zoo,
    xts (>= 0.8),
    matlab,
    pracma,
    R.utils,
    mvtnorm,
    dlm,
    quadprog,
    kernlab,
    nloptr,
Suggests:
    limSolve,
    Matrix,
    MASS,
    reshape2,
    Hmisc,
    moments,
    ggplot2,
    expm,
    latticeExtra,
    scatterplot3d,
    signal,
    fExtremes,
    QZ,
    PerformanceAnalytics
License: GPL
URL: http://r-forge.r-project.org/projects/returnanalytics/
Copyright: (c) 2014