PCRA: Companion to Portfolio Construction and Risk Analysis

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 provides several real-world data sets for problem assignments and student projects, including cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures from S&P Global, and several S&P 500 data sets.

Version:	1.2.1
Depends:	R (≥ 4.0.0)
Imports:	PerformanceAnalytics, PortfolioAnalytics, boot, methods, xts, zoo, lattice, corpcor, data.table, quadprog, RobStatTM, robustbase, R.cache
Suggests:	R.rsp, MASS, tensr, facmodCS, fit.models, sandwich
Published:	2026-03-13
DOI:	10.32614/CRAN.package.PCRA
Author:	Doug Martin [cre, aut], Alexios Galanos [ctb], Kirk Li [aut, ctb], Jon Spinney [ctb], Thomas Philips [ctb]
Maintainer:	Doug Martin <martinrd3d at gmail.com>
License:	GPL-2
NeedsCompilation:	no
Materials:	README
CRAN checks:	PCRA results

Documentation:

Reference manual:	PCRA.html , PCRA.pdf
Vignettes:	Introduction to CRSP Stocks and SPGMI Factors in PCRA (source)

Downloads:

Package source:	PCRA_1.2.1.tar.gz
Windows binaries:	r-devel: PCRA_1.2.zip, r-release: PCRA_1.2.zip, r-oldrel: PCRA_1.2.zip
macOS binaries:	r-release (arm64): PCRA_1.2.1.tgz, r-oldrel (arm64): PCRA_1.2.1.tgz, r-release (x86_64): PCRA_1.2.1.tgz, r-oldrel (x86_64): PCRA_1.2.tgz
Old sources:	PCRA archive

Reverse dependencies:

Reverse suggests:

facmodCS, PortfolioAnalytics, robustGarch

Linking:

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