Blog Archives

Functions for portfolio analysis

December 11, 2008
By

Functions include:1. efficient.portfolio      compute minimum variance portfolio subject to target return2. globalMin.portfolio      compute global minimum variance portfolio3. tangency.portf...

Read more »

Convert Splus to R

December 10, 2008
By

Suppose you have got used to Splus and want to switch to R software (why bother to change? R is free while Splus is not, fair enough?), what can you do? since there are many functions in S-PLUS that are missing in R, one way is to understand the functions and write your owns, working N hours without sleep...

Read more »

Multivariate dependence with copulas

November 17, 2008
By

Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Husler-Reiss and Galambos), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for d...

Read more »

Modeling Financial Time Series with S-PLUS

November 12, 2008
By

Although S-plus is the most terrible language I have ever used in terms of debugging (I have to say that, no offense to S-plus fans, as my colleagues said, it is hard to understand it is still existed in 21 centuary), I found the S-plus scripts accomp...

Read more »

Quantitative Risk Management R package

I shared an Econometric tools for performance and risk analysis package in R, today I introduce another Quantitative Risk Management R package, which is accompanying the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J....

Read more »

Rmetrics – Basics of Option Valuation

Open Source Software for Financial Engineering and Computational FinanceRmetrics is the premier open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods Rmet...

Read more »

Econometric tools for performance and risk analysis

QuotationLibrary of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.We create...

Read more »

evolutionary algorithm optimization

September 4, 2008
By

In the post Optimization packages dozens of optimization routines can be downloaded, here I am going to share a special optimization method: evolutionary algorithm. Evolutionary algorithms (EAs) are search methods that take their inspiration from natu...

Read more »

Visualize Copulas

In those Copula codes you can get a rough idea what copula is, how to estimate and simulate it, how to test its performance, etc., to help you visualize what on earth the copula should look like, below R code draws plots of some widely used copulas.ht...

Read more »

Process Simulation in R

Simple demonstration codes for process simulation in R, including Brownian motion simulation, Poisson process simulatio, Euler scheme simulation for Geometric Brownian motion, the mean-reverting process, and the process with two 'attractors', etc.http...

Read more »