@chiraganand, I know that it’s kinda late, but I wanted to share something meaningful before sharing it with you and others. I have already released my package, PortfolioAnalytics.jl, which aims to be a tool for quantitative portfolio analytics—indeed made a second release.
All functions accept only the TSFrame object as an input - I don’t want to rely on unmaintained packages. I’d be very happy to collaborate, and I sincerely thank you and others in xKDR for the TSFrames package and all your answers so far.
The package is under heavy development, but even now possible to derive returns, portfolio returns, value at risk, expected shortfall, minimum-variance or maximum-sharpe portfolio optimization, and a few others. Hopefully, the package’s functionality will improve with further releases, either minor or major. I plan to add new functionalities every month until it becomes a mature library.
doganmehmet/PortfolioAnalytics.jl (github.com)
I am open to any feedback, feature request, and collaboration.
Thanks