ffp 0.2.2
- Added
relative_entropy() to compute the relative
entropy between two distributions;
entropy-pooling() runs about to 30-60% faster
(#19);
view_on_marginal_distribution() restricts just the
first two moments of the distribution;
- Small changes in the documentation files.
ffp 0.2.1
- Bug fix in
entropy_pooling() when dealing with multiple
inequalities constraints;
- Small changes in the documentation files.
ffp 0.2.0
New Features
- A new class (
ffp_views) was added to help the user to
input views on the market for portfolio construction and simulation
purposes. See the view_*() family of functions;
entropy_pooling() is now exported and can be used with
three different solvers (nlminb, solnl, and
nloptr);
bind_views() allows the user to “glue” multiple views
into the same object;
ffp_moments() computes the location and dispersion
parameters under flexible probabilities.
Minor improvements and fixes
bind_probs() now returns the user call in the third
column instead the old arbitrary key column (#13);
ffp 0.1.0
ffp 0.0.1
- The package now is built upon S3
vctrs, instead of
tibbles;
- Functions
bootstrap_scenarios(),
scenario_density() and bind_probs() only
accepts objects of ffp class;
- Added
ffp method to
ggplot2::autoplot();
- Exponential Smoothing is now computed with
exp_decay().
ffp 0.0.9000
- First release of the development version of
ffp.