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Category: R

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

R Package modopt.matlab – MatLab-style matrix-based optimization modeling in R

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