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List: r-sig-finance
Subject: Re: [R-SIG-Finance] Fwd: Multi-Asset Portfolio Performance Attribution
From: "Brian G. Peterson" <brian () braverock ! com>
Date: 2016-08-25 12:57:03
Message-ID: 1472129823.9044.1.camel () brian-rcg
[Download RAW message or body]
install.packages("PortfolioAttribution",repos="http://R-Forge.R-project.org")
Regards,
Brian
On Thu, 2016-08-25 at 02:50 +0200, Olasunkanmi Obanubi via R-SIG-Finance
wrote:
> Hi all,
>
> I am interested in knowing if there are any packages that deal with
> performance attribution for a multi-asset portfolio in general.
>
> In particular, I am interested in capturing the performance attribution at
> each level of a top-down approach (say, for example, starting with asset
> allocation at the highest level all the way down to manager selection at
> the lowest level) to investing in a multi-asset portfolio.
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