publication . Doctoral thesis . 2013

R functions development for stockPortfolio package

Luo, Rui;
Open Access English
  • Published: 01 Jan 2013
  • Publisher: eScholarship, University of California
  • Country: United States
Modern portfolio theory is a statistical framework to allocate investment assets properly, with the aim of reducing risk by diversification. In the past decades, a variety of index and group models (with different covariance assumption) have been proposed to optimize the portfolio, including Single Index Model, Constant Correlation Model, Multi-Group Model, and Multi-Index Model. An R package "stockPortfolio" is developed by Drs. Christou and Diez, and fully implemented Single Index Model, Constant Correlation Model. Besides, this package also includes functions to download historical data from Yahoo Finance, build models, estimate optimal portfolios, and test p...
free text keywords: Statistics, Finance, Portfolio, R, Stock
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