This repository contains an R package that implements the influence functions of various risk and performance measures as mentioned in Martin and Zhang (2017) (https://ssrn.com/abstract=2747179) as well as Chen and Martin (2018) (https://ssrn.com/abstract=3085672). The package is implemented mainly implemented in R, with the option of using C++ …
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
R
data
man
src
vignettes
.Rbuildignore
.gitignore
DESCRIPTION
InfluenceFunctions.Rproj
NAMESPACE
README.md

README.md

InfluenceFunctions

This repository contains an R package that implements the influence functions of various risk and performance measures as mentioned in Martin and Zhang (2017) (https://ssrn.com/abstract=2747179) as well as Chen and Martin (2018) (https://ssrn.com/abstract=3085672). The package is implemented mainly implemented in R, with the option of using C++ using the Armadillo library for certain risk and performane measures.