PCRA

Companion to Portfolio Construction and Risk Analysis

Last update: 30 August 2023

Software version identifier: 1.0, 1.1, 1.2

Copyright license: GNU General Public License, version 2.0

A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.