digest, doSNOW, evaluate, foreach, ggplot2,
PerformanceAnalytics, quantmod, R.utils, rlang, snow, utils,
xts, zoo
CVXR, DT, ggfortify, gridExtra, knitr, prettydoc, readtext,
rmarkdown, R.rsp, stringi, testthat

digest, doSNOW, evaluate, foreach, ggplot2,
PerformanceAnalytics, quantmod, R.utils, rlang, snow, utils,
xts, zoo, stats, quadprog

digest, evaluate, ggplot2, pbapply, PerformanceAnalytics,
parallel, quadprog, quantmod, R.utils, rlang, stats, utils,
xts, zoo

CVXR, DT, ggfortify, gridExtra, knitr, prettydoc, readtext,
rmarkdown, R.rsp, scales, stringi, testthat

Framework for simulating equity portfolio strategies
Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>, with contributions from Kyle Campbell <Kyle.W.Campbell@williams.edu>
Classes that serve as a framework for designing equity portfolio simulations.
R (>= 2.4.0), methods, lattice, portfolio

R (>= 2.4.0), methods, lattice, portfolio (>= 0.3-3)

R (>= 2.4.0), methods, lattice, portfolio (>= 0.4-0)

Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>,
with contributions from Kyle Campbell
<Kyle.W.Campbell@williams.edu>
Classes that serve as a framework for designing equity
portfolio simulations.
R (>= 2.10), methods, lattice, portfolio (>= 0.4.0)

Alex Dickerson [aut,cre], Jonathan Spohnholtz [aut,cre]
Designed to aid both academic researchers and asset managers in conducting factor based portfolio sorts.
Provides functionality to sort assets into portfolios for up to three factors via a conditional or unconditional sorting procedure.

Vine Based (Un)Conditional Portfolio Risk Measure Estimation
person("Emanuel", "Sommer", , "emanuel_sommer@gmx.de", role = c("cre", "aut"))
Following Sommer (2022) <https://mediatum.ub.tum.de/1658240>
portfolio level risk estimates (e.g. Value at Risk, Expected
Shortfall) are estimated by modeling each asset univariately by an
ARMA-GARCH model and then their cross dependence via a Vine Copula
model in a rolling window fashion. One can even condition on
variables/time series at certain quantile levels to stress test the
risk measure estimates.
checkmate, data.table, dplyr, dtplyr, future.apply, methods,
ppcor, Rcpp (>= 0.12.12), rlang, rugarch, rvinecopulib, tidyr
covr, future, ggplot2, ggtext, knitr, patchwork, rmarkdown,
scales, testthat (>= 3.0.0)
BH, kde1d, Rcpp, RcppEigen, RcppThread, rvinecopulib, wdm
'RcppExports.R' 'default_garch_spec.R' 'S4_classes.R'
'datadoc_and_rcpp.R' 'dvine_ordering.R' 'risk_measures.R'
'rcondvinecop.R' 'estimate_dependence_and_risk.R'
'estimate_marginal_models.R' 'estimate_risk_roll.R' 'utils.R'