733 search results for "finance"

Modern Portfolio Optimization Theory: The idea

November 3, 2011
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Modern Portfolio Optimization Theory: The idea

We were recently given a lecture (by Dr. Susan Thomas) on Harry Markowitz portfolio optimization theory, and I was really fascinating with the noble laureate's story of how he found it difficult to convince his guide about the importance of h...

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"Applications of R" contest submissions online

November 2, 2011
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Thanks to everyone for participating in the "Applications of R in Business" contest. R users submitted more than 25 entries, describing how R is used in industries including life sciences, finance, manufacturing, sentiment analysis, and even sports. Some entries are just outlines for now (competitors have until November 30 to finalize their entries), but already there are some quite...

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How much does "Beta" change depending on time?

November 1, 2011
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How much does "Beta" change depending on time?

You may often use "Beta" to measure the market exposure of your portfolio because it's easy to calculate.Since I have been wondering how much "Beta" change depending on time, more precisely writing, data-set and the period of return time series, I...

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Last chance to enter the $20,000 "Applications of R" contest

October 31, 2011
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Don't forget that midnight tonight (Pacific Daylight Time) is the deadline to submit your draft entry for the Applications of R in Business Contest, with $20,000 in prizes up for grabs from Revolution Analytics. You'll still be able to edit your entry during the public review period (until November 30), but no new entries will be accepted for the...

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Learning R: Project 1, Part 2

October 30, 2011
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Learning R: Project 1, Part 2

So it's been a week since I started down this path.  I worked most of this out over last weekend, went to a conference, had hectic week at work, and then realized I lost my work.  Gah.I'll be posting my general thoughts on R later.  Most...

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Building diversified portfolios with R

October 27, 2011
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Building diversified portfolios with R

A common approach to reducing risk associated with financial portfolios is diversification. A portfolio made of components that are all highly correlated with each other -- a portfolio composed solely of financial stocks, for example -- is risky, because if there's a wide-spread crisis that affects the banking sector, all components of the portfolio will tank at once, together....

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Principal component analysis : Use extended to Financial economics : Part 2

October 22, 2011
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My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many. A caveat to the applicatio...

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The R-Files: Paul Teetor

October 19, 2011
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The R-Files: Paul Teetor

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Paul Teetor Profession: Quantitative developer (freelance) Nationality: American Years Using R: 7 Known for: Author of R Cookbook (O’Reilly Media, 2011) An active member of the R community, Paul Teetor is a quantitative developer and statistical consultant based in the...

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Introduction to Asset Allocation

October 12, 2011
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Introduction to Asset Allocation

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and Cardinality Constraints Arithmetic and Geometric

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Where to find data to use with R

October 11, 2011
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(Contributing blogger Joe Rickert has put together a fantastic list of data sources suitable for use with R. If you're looking for data to use in the Applications of R Contest -- entries close October 31 -- this is a great resource for you -- Ed.) Hardly a day goes by without someone or something reminding me that we...

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