Computing a New Informative Distribution Set of Asset Returns


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Documentation for package ‘INFOSET’ version 4.1

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asset.label Data for clustering and labeling ETFs
create_overlapping_windows Function to create overlapping windows.
g_ret Function to compute gross returns.
infoset Procedure to find the most-left distribution set.
LR_cp Function to compute Left risk measure.
plot_LR_cp Plot methods for a LR_cp object
plot_ptf Plot methods for a ptf_construction object
ptf_construction Function to compute portfolio values
sample.data Data for infoset function
sample.data.ts Data with time points for portfolio construction using the LR_cp measure
summary_ptf Plot methods for a ptf_construction object
tail_mixture Function to find the most-left distribution set.