ffp
Fully Flexible Probabilities for Stress Testing and Portfolio Construction
Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.2 |
rolling source/ R- | ffp_0.2.2.tar.gz |
338.2 KiB |
0.2.2 |
latest source/ R- | ffp_0.2.2.tar.gz |
338.2 KiB |
0.2.2 |
2026-04-23 source/ R- | ffp_0.2.2.tar.gz |
338.2 KiB |
0.2.2 |
2026-04-09 windows/windows R-4.5 | ffp_0.2.2.zip |
480.1 KiB |
Dependencies (latest)
Imports
- assertthat (>= 0.2.1)
- dplyr (>= 1.0.10)
- forcats (>= 0.5.2)
- ggdist (>= 3.2.0)
- ggplot2 (>= 3.3.6)
- lubridate (>= 1.8.0)
- magrittr (>= 2.0.3)
- methods
- mvtnorm (>= 1.1-3)
- purrr (>= 0.3.4)
- rlang (>= 1.0.6)
- scales (>= 1.2.1)
- stringr (>= 1.4.1)
- stats
- tibble (>= 3.1.8)
- tidyr (>= 1.2.1)
- vctrs (>= 0.4.1)
- nloptr (>= 2.0.3)
- crayon
- NlcOptim (>= 0.6)