GSoC/GCI Archive
Google Summer of Code 2013 R Project for statistical Computing

Linear factor model for asset returns

by Yi-An Chen for R Project for statistical Computing

Building an R package for estimation, risk analysis and performance analysis of linear factor models for asset returns and portfolios. Factor models for asset returns are used to decompose risk and return into explainable and unexplainable components, generate estimates of abnormal return, describe the covariance structure of returns, predict returns in specified stress scenarios, and provide a framework for portfolio risk analysis.