Publications by Peter Carl
R/Finance 2013 Is Coming Quickly…
There is about two weeks remaining until R/Finance 2013 – being held on May 17th and 18th at UIC in Chicago. Make sure you register beforehand to ensure you have a spot, and – yes – you do want to come to the conference dinner on Friday. I am particularly excited about the lineup of keynotes this year, which includes: Sanjiv Das –...
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Some belated spring cleaning
A very busy spring has transitioned into a very busy summer, so let me recap a few topics that probably deserve more time than I’ll give them here. Here are the things I’m overdue on, in no particular order: Publications In the March edition of the Journal of Risk, Kris Boudt, Brian Peterson and I published a paper titled Asset allocation wit...
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GSOC 2014: Let’s do it again!
Google Summer of Code opened for students on Monday, March 10, more than a month earlier than last year. If you weren’t following the announcements and that deadline caught you wrong-footed, all I can say is that the good news is that students will know their fate by April 21, well before the summer starts. In other good news, the The R Proje...
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PerformanceAnalytics update released to CRAN
Version number 1.4.3541 of PerformanceAnalytics was released on CRAN today. If you’ve been following along, you’ll note that we’re altering our version numbering system. From here on out, we’ll be using a “major.cran-release.r-forge-rev” form so that when issues are reported it will be easier for us to track where they may have been...
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Aggregate portfolio contributions through time
The last CRAN release didn’t have much new functionality, but Ross Bennett and I have completely re-written the Return.portfolio function to fix some issues and make the calculations more transparent. The function calculates the returns of a portfolio given asset returns, weights, and rebalancing periods – which, although not rocket sci...
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Find the last day of the month
I have different sets of monthly data that I want to align and evaluate once a month. The different sources report the timestamp of the monthly data differently – one reports the date without the day, another as the last business day, and another as the last day of the month. For what I want to do, I’m content to align the data to the last ...
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