I just love to create portfolio optimization models based on Optimization theory and such models require a well-defined return scenario set which is nothing more than a matrix where we have a joint possible set of returns of all our assets under consideration. The easiest way is to use historical data for this purpose. While it is dangerous to use historical data in many price-based single asset strategies, it definitely makes sense for portfolio-based analysis because we capture the empirical dependency of the assets which works surprisingly well. We focus… Read more Stock Market Data Scenario Set Generation – S&P 100 →
Introduction Besides Deep Learning (in the realm of Data Science and AI) there is another scientific and applied area where people always seem to prefer Python over R and this is: Optimization (in the realm of Decision Science). Luckily there are two very good optimization modeling frameworks for R available, namely CVXR and ompr. If you require a quick refresher on general Optimization and R please refer to my tutorial Decision Optimization 101 on my site “Decision Optimization with R” – this tutorial contains unique content on how to model… Read more R Package modopt.matlab – MatLab-style matrix-based optimization modeling in R →
The book and tutorial project entitled Become a Quant with R has finally been put online. Please visit http://www.quant-r.com for more information. Registration is required. The following three tutorials are online as of yet: A Gentle Introduction to Portfolio Optimization: Understanding the importance of risk management – simply maximizing our wealth is the wrong approach The Magic of Markowitz: A sensational idea that is really worth the Nobel prize – visualized with two stocks Efficient Frontiers: Optimizing more than one dimension – handling risk and return synchronously I sincerely hope… Read more Become a Quant with R →
As we finally start to add tutorials to our site we started with Portfolio Optimization with Stocks and Cryptocurrencies which was initially prepared for the Interactive Brokers Quant Blog. Click here to access this tutorial about Combined Cryptofolios – What Markowitz (Optimization) would have told us about Cryptocurrencies in 2018. There’s still a heavy buzz around cryptocurrenices – as with every opportunity which offers a convenient way to get rich quick. There’s a reason why one of the pressing questions in the Cryptocommunity is: “When Lambo?”. On a more serious… Read more Tutorial: Portfolio Optimization with Stocks and Cryptocurrencies →
Welcome to the completely redesigned version of finance-r.com. Due to various exciting developments, this web repository has been completely redesigned to accommodate for the recent and future changes. Stay tuned for more information! The old site is still available at http://legacy.finance-r.com/ until all content has been transferred successfully.