Tools for portfolio construction and risk analytics, including mean-variance optimization, conditional value at risk (expected shortfall) minimization, risk parity, regime clustering, correlation analysis, Monte Carlo simulation, and option pricing. Includes utilities for portfolio evaluation, clustering, and risk reporting. Methods are based in part on Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>, Rockafellar and Uryasev (2000) <doi:10.21314/JOR.2000.038>, Maillard et al. (2010) <doi:10.3905/jpm.2010.36.4.060>, Black and Scholes (1973) <doi:10.1086/260062>, and Cox et al. (1979) <doi:10.1016/0304-405X(79)90015-1>.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats, utils, quadprog, ggplot2, PerformanceAnalytics, zoo, class, quantmod, reshape2, mclust, shiny |
| Suggests: | bslib, TTR, DT, xts, yfR, cryptoQuotes, tidyquant, Rtsne, umap, testthat, knitr, rmarkdown |
| Published: | 2026-04-22 |
| DOI: | 10.32614/CRAN.package.finlabR |
| Author: | Suyash Jindal [aut, cre] |
| Maintainer: | Suyash Jindal <jindalsuyash7 at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | finlabR results |
| Reference manual: | finlabR.html , finlabR.pdf |
| Vignettes: |
finlabR: Portfolio Analytics and Simulation (source, R code) End-to-End Workflow (source, R code) |
| Package source: | finlabR_1.0.0.tar.gz |
| Windows binaries: | r-devel: finlabR_1.0.0.zip, r-release: finlabR_1.0.0.zip, r-oldrel: finlabR_1.0.0.zip |
| macOS binaries: | r-release (arm64): finlabR_1.0.0.tgz, r-oldrel (arm64): finlabR_1.0.0.tgz, r-release (x86_64): finlabR_1.0.0.tgz, r-oldrel (x86_64): finlabR_1.0.0.tgz |
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