Articles by Franklin Parker

Recession Forecasting with a Neural Net in R

September 4, 2020 | Franklin Parker

I spend quite a bit of time at work trying to understand where we are in the business cycle. That analysis informs our capital market expectations, and, by extension, our asset allocation and portfolio risk controls. For years now I have used a trusty old linear regression model, held together ...
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How to Optimize a Goal-Based Portfolio

August 21, 2020 | Franklin Parker

Traditional portfolio optimization (often called modern portfolio theory, or mean-variance optimization) balances expected portfolio return with expected portfolio variance. You input how opposed you are to portfolio variance (your risk tolerance), then you build a portfolio that gives you the best return given your risk tolerance. Goals-based investing, by contrast, ...
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Labor Force Growth by Decade – R Code

August 16, 2020 | Franklin Parker

I just posted an interesting look at the growth of the labor force by decade. Given that I used R to produce it, I thought it interesting to share the R code and method. Just for reference, here is the chart: First, we will need the following libraries The quantmod ...
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Optimizing a portfolio in R – Monte Carlo method

August 15, 2020 | Franklin Parker

I regularly use monte carlo engines to answer questions. First, they are really flexible in their ability to model non-normal distributions and assumptions. Second, you can incorporate any constraints you want which may be outside the scope of a non-linear optimization function. At any rate, this is how to use ...
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