- Kane, David, "Open Source Finance" (November 2006). Available at SSRN and forthcoming (with Joe Masters) from The Journal of Investing.
- J. Enos and D. Kane. Analysing equity portfolios in R. R News, 6(2):13-19, May 2006.
Note: this article appeared in the R newsletter, the full issue of which can be found here.
The article contains discussion of some software features that have
been moved into a different package, portfolioSim. An updated
version of this document that is consistent with the software's
latest release can be found in the portfolio vignettes section
below, under Using the portfolio package.
- K. Campbell, J. Enos, D. Gerlanc, and D. Kane. Backtests.
R News, 7(1):36-41, April 2007. Full issue can be found
- J. Enos, D. Kane, A. Narayan, A. Schwartz, D. Suo, and L. Zhao. Trade Costs. R News, 8(1):10-13, May 2008. Full issue can be found here.
- Kevin Bartz and David Kane, "Matching Portfolios" (May 2008). Paper
available at SSRN. R package available here.
is a free software environment for statistical computing and graphics.
Below are three finance-related packages available on
the Comprehensive R Archive
Network, a repository of free software packages written in R. For
each package please see its summary page and additional instructional
documents, or vignettes.
Classes for analysing and implementing equity portfolios. The
portfolio package provides a simple portfolio representation in R,
and handles cross-sectional portfolio calculations such as exposures
and single-period performance and contribution.
Classes that serve as a framework for designing equity portfolio
simulations. The portfolioSim package builds upon the portfolio
package to provide portfolio timeseries analysis.
- backtest: The backtest package provides facilities for exploring portfolio-based conjectures about financial instruments (stocks, bonds, swaps, options, et cetera). It is separate from and simpler than portfolio and portfolioSim, providing traditional spread style analysis.
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