**Portfolio Probe » R language**, and kindly contributed to R-bloggers)

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website.

Below is my take on the highlights (in chronological order).

## Peter Carl and Brian Peterson

“Constructing Strategic Hedge Fund Portfolios” is wonderful from my perspective. Promoting random portfolios is sure to win my heart. It also discusses portfolio optimization.

## Bernhard Pfaff

“Diversification Reconsidered: Minimum Tail Dependency” takes a different angle on diversification. Portfolio diversity is a subject that has appeared in this blog.

## R. Michael Weylandt

“Real-time Portfolio/Market Monitoring with R” tells of the genesis of a package for doing what the title says. Sounds exciting.

## Kirk Wylie

“Insanely Cool Stuff from OpenGamma + R” (pptx) talks about an open source risk system that includes R.

## Eric Zivot

“Estimating the Dynamics of Price Discovery” (pptx) shows an econometric method of determining if changes in the euro/yen exchange rate are incorporated first via the US dollar.

## Clifford Ang

“Estimating Market Value of Illiquid Debt” talks about a method of using liquid bonds to price bonds that have not traded recently.

## Jiahan Li

“Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (LAVAR)” (pptx) discusses US economic prediction in the realm of vector autoregression models. It highlights the problem of overfitting.

## Nitish Sinha

All Words Are Not Made Equal” shows some interesting experiments for news analytics.

## Jay Emerson

Handling lots of data is discussed in “Towards Terabytes of TAQ”.

## Anurag Nagar

“News Sentiment Analysis Using R to Predict Stock Market Trends” is another talk on text analysis.

## Whit Armstrong

“rcppbugs — Native MCMC for R” talks about a nice looking implementation of Markov Chain Monte Carlo.

## See Also

- Selections from the R/Finance conference (2011)
- Things I learned at useR!2011
- A view of useR!2011
- LondonR recap (2011 December)
- Recap of London Quant Group Spring Seminar (2011)
- Highlights of the London Quant Group Technology Day (2011)

**leave a comment**for the author, please follow the link and comment on their blog:

**Portfolio Probe » R language**.

R-bloggers.com offers

**daily e-mail updates**about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...