Portfolio Optimization With R
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- Опубликовано: 8 окт 2017
- In this tutorial, we will go over how to use some of the basic functions in fPortfolio, a package for portfolio analysis in R.
View this on my website: programmingforfinance.com/2017...
My Website: programmingforfinance.com/
I love R. I've been using it for almost 10 years so far (since October 2008 up to May 2018). Billions of packages, flexibility to code and build own functions - wonderful for graphs, data management, analysis, more complex tasks in statistics.
Three years ago I used it for a study concerning Latin american currencies and last year I used to store crypto-currencies data and analyze them.
Simply fantastic!
Brilliant tutorial on Portfolio Optimization with R. I will highly recommend it to a beginner who would like to use it in portfolio research.
Can you do a video going over each line of code instead of just running the code
Awesome video, easy explanation, I guess the documentation shows what I've missed
Excellent video
Thanks a lot for the video!
How can I calculate the Sharpe ratio for my Min-Variance-Portfolio (mvp)?
Bless You man 2:46
One question: What value of the Risk-free rate is being used when you plot using "plot(Frontier(8))"
Your website is not working nowadays, could you please share your code? This is a great job!
Awesome！
great video Sir! I have returns computed already. Can you tell me what to do next? And the data is already time series. I guess yours was from Yahoo finance or from the internet.
Quite well explained, but its such a vast topic that getting through many things can be challenging. I am trying to use this package in R and facing quite number of questions. Hope you will be able to answer some of them. In setRiskFreeRate(pfSpecs) function should this rate be in % or in decimals. Example risk free rate i want to have is 8%. Should I pass this value as setRiskFreeRate(pfSpecs)
1.39 pm in lower right corner ... "good morning, everybody" ;) very boheme
How do you set the return for the risk free asset to find the tangency portfolio? I didn't see you specify that in you "spec" vector
You know this error when running backtesting?
Error in glp_bounds_check_sanity(lower, n) :
Length of bound indices must be equal to the length of the corresponding bound values.
Here, backtest and asset* are column names of the data set.
Any pointers in creating a zero beta portfolio?
Can someone help (GLOBAL MINIMUN VARIANCE) me with this: Error in portfolio.spec() : You must specify the assets? thanks
Mechanical keyboard are cool
CODE PLEASE!
how can we have this codes ?
please share this code
Figure "252" in the 71st row, when the data was annualized, how it was obtained?
that's trading days in a year
Does this package still work?
Yea, although I recommend using PortfolioAnalytics. It's much more robust of a package. I have a video on it here: ruclips.net/video/6Pi0fjARtUI/видео.html
can anyone help in this error ?
> spec = portfolioSpec()
> setsolver(Spec) = "solveRshortExact"
Error in setsolver(Spec) = "solveRshortExact" : object 'Spec' not found
case sensitive in spec vs Spec
mvp