From 12a52782e84da833c3b9b11f30877ad2d9a9e67c Mon Sep 17 00:00:00 2001 From: Jasen Date: Thu, 27 May 2021 09:33:15 -0400 Subject: [PATCH 1/2] Add PortfolioAnalytics, FactorAnalytics and Expected Returns to the README list --- README.md | 7 +++++++ 1 file changed, 7 insertions(+) diff --git a/README.md b/README.md index 7f3bcdc..d0a442a 100644 --- a/README.md +++ b/README.md @@ -266,6 +266,9 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [r-quant](https://github.com/artyyouth/r-quant) - R code for quantitative analysis in finance. - [options.studies](https://github.com/taylorizing/options.studies) - options trading studies functions for use with options.data package and shiny. +### Portfolio Optimization +- [PortfolioAnalytics](https://cran.r-project.org/web/packages/PortfolioAnalytics/PortfolioAnalytics.pdf) - Portfolio Analysis, Including Numerical Methods for Optimizationof Portfolios + ### Trading - [TA-Lib](https://ta-lib.org) - perform technical analysis of financial market data. @@ -282,6 +285,10 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [PerformanceAnalytics](https://cran.r-project.org/web/packages/PerformanceAnalytics/index.html) - Econometric tools for performance and risk analysis. +### Factor Analysis +- [FactorAnalytics](https://github.com/braverock/FactorAnalytics) - 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. +- [Expected Returns](https://github.com/JustinMShea/ExpectedReturns) - Solutions for enhancing portfolio diversification and replications of seminal papers with R, most of which are discussed in one of the best investment references of the recent decade, Expected Returns: An Investors Guide to Harvesting Market Rewards by Antti Ilmanen. + ### Time Series - [tseries](https://cran.r-project.org/web/packages/tseries/index.html) - Time Series Analysis and Computational Finance. From 3e2146d81c9274bfd042ab2f11516097be770024 Mon Sep 17 00:00:00 2001 From: Jasen Date: Thu, 27 May 2021 09:37:34 -0400 Subject: [PATCH 2/2] Add blotter --- README.md | 1 + 1 file changed, 1 insertion(+) diff --git a/README.md b/README.md index 7a2104d..fd8b9ae 100644 --- a/README.md +++ b/README.md @@ -277,6 +277,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [pa](https://cran.r-project.org/web/packages/pa/index.html) - Performance Attribution for Equity Portfolios. - [TTR](https://cran.r-project.org/web/packages/TTR/index.html) - Technical Trading Rules. - [QuantTools](https://quanttools.bitbucket.io/_site/index.html) - Enhanced Quantitative Trading Modelling. +- [blotter](https://github.com/braverock/blotter) - Transaction infrastructure for defining instruments, transactions, portfolios and accounts for trading systems and simulation. Provides portfolio support for multi-asset class and multi-currency portfolios. Actively maintained and developed. ### Backtesting