# Companion to Portfolio Construction and Risk Analysis

## Documentation for package ‘PCRA’ version 1.2

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.

## Help Pages

barplotWts | A Barplot of a Set of Portfolio Weights
bootEfronts | Bootstrapped Efficient Frontiers
chart.Efront | Create Efficient Frontier
cleanOutliers | Clean Returns Outliers
crsp.returns8 | crsp.returns8
datFF3W | Fama-French Weekly 3-Factor Model
datFF4W | Fama-French-Carhart Weekly 4-Factor Model
divHHI | HHI Based Diversification Index
ellipsesPlotPCRA.covfm | Overlaid Correlations Ellipses Plots
factorsSPGMI | factorsSPGMI
FRBinterestRates | Federal Reserve Board Interest Rates
getPCRAData | Download CRSP and SPGMI Data
gfunds5 | gfunds5
invensysEPS | Earnings per Share of Invensys
KRest | Kurtosis Estimator
levgLongShort | Long Short Portfolio Leverage
mathEfront | Efficient Frontiers from Returns
mathEfrontCashRisky | Math Efficient Frontier: Cash and Risky Assets
mathEfrontRisky | Efficient Frontier of Risky Stocks
mathEfrontRiskyMuCov | Efficient Frontier
mathGmv | Global Minimum Variance Portfolio (GMV)
mathGmvMuCov | Global Minimum Variance Portfolios From Mu and Cov
mathTport | Tangency Portfolio Weights
mathWtsEfrontRisky | Efficient Frontier Portfolio Weights Vectors
mathWtsEfrontRiskyMuCov | Efficient Frontier Portfolio Weights Vectors
meanReturns4Types | Four Types of Mean Returns
opt.outputMvoPCRA | Optimal Portfolio Weights and Performance
plotLSandRobustSFM | Robust and Least Square Single Factor Model (SFM) Fits
qqnormDatWindat | qqnormDatWindat
retDD | Stock with Ticker DD
retEDS | Stock with Ticker EDS
retFNB | Stock with Ticker FNB
retKBH | Stock with Ticker KBH
retMER | Stock with Ticker MER
retOFG | Stock with Ticker OFG
retPSC | Stock with Ticker PSC
returnsCRSPxts | Select CRSP Stocks Returns
retVHI | Stock with Ticker VHI
retWTS | Stock with Ticker WTS
selectCRSPandSPGMI | Select and merge data from the stocksCRSP and factorsSPGMI data sets
SKest | Skewness estimator
SP400Industrials | SP400Industrials
SP425Industrials | SP425Industrials
SP500 | SP500
SP500from1967to2007 | SP500from1967to2007
SPIndustrials | SPIndustrials
stocksCRSP | stocksCRSP
stocksCRSPxts | Select CRSP Stocks Returns
strategies | Hedge Fund Strategies Returns
tsPlotMP | Lattice Multi-Panel Time Series Plots
turnOver | Portfolio Turnover
winsorize | Winsorize Data
winsorMean | Winsorized Mean