It is very easy, in R, to obtain a matrix of returns starting from a matrix of prices. The opposite procedure, however, is slightly more complicated. Let's say you have a matrix of returns that starts at time t, and a vector of the prices at time t-1. How can ... [Read more...]

It is very easy, in R, to obtain a matrix of returns starting from a matrix of prices. The opposite procedure, however, is slightly more complicated. Let's say you have a matrix of returns that starts at time t, and a vector of the prices at time t-1. ... [Read more...]

Most of you are probably familiar with the covariance matrix. Its less known brother, the semicovariance matrix, might however be new to you. The semicovariance matrix is pretty much like a covariance matrix, with the difference that it is computed accounting only for the variability below a certain benchmark, which ... [Read more...]

Most of you are probably familiar with the covariance matrix. Its less known brother, the semicovariance matrix, might however be new to you. The semicovariance matrix is pretty much like a covariance matrix, with the difference that it is computed acc... [Read more...]