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espero
2010 Mar 12
0
R/Finance 2010
...ncial Data Sets in R
Tony Plate: Mean-variance Portfolio Optimization: Do Historical
Correlations Help or Hinder Risk Control in a Crisis?
*Ralph Vince/Soren MacBeth: Leverage Space Portfolio Model
Kris Boudt: Portfolio Optimization with Conditional Value-at-Risk Budgets
Steve Kane/Jeff Lewis: The esperr package and the Esper API
Lightning talks:
Peter Carl: The blotter / instrument / strategy toolchain
Wei-han Liu: Improved Generalized Gram-Charlier Expansions based on
Multivariate Skew Distributions
Wendy Wang: Strategic Asset Allocation using Markov Switching
James "JD" Long:...