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Category: Finance with R Tutorial

Stock Market Data Scenario Set Generation – S&P 100

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

Tutorial: Portfolio Optimization with Stocks and Cryptocurrencies

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