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View replicate.10oct2017
# R code re: CapitalSpecator.com post for replicating indexes in R
# "Replicating Indexes In R With Style Analysis: Part I"
# http://www.capitalspectator.com/replicating-indexes-in-r-with-style-analysis-part-i/
# 10 Oct 2017
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2017 by Beta Publishing LLC
# load packages
library(quadprog)
View evt.risk.07feb2017.R
# R code re: CapitalSpecator.com post for analyzing tail risk with extreme value theory in R
# "Tail-Risk Analysis In R: Part II - Extreme Value Theory"
# http://www.capitalspectator.com/tail-risk-analysis-in-r-part-ii-extreme-value-theory/
# 7 Feb 2017
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2017 by Beta Publishing LLC
# load packages
View combo.forecast.22dec2016.R
# R code re: CapitalSpecator.com post for analyzing combination forecasts in R
# "Projecting The Payrolls Trend With Combination Forecasts"
# http://www.capitalspectator.com/projecting-the-payrolls-trend-with-combination-forecasts/#more-8309
# 22 Dec 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC
# load packages
library(TTR)
View risk.mgd.fund.analysis.23sep2016.R
# R code re: CapitalSpecator.com post for analyzing 2 risk-managed funds
# "Analyzing Risk-Managed Funds With R"
# http://www.capitalspectator.com/analyzing-risk-managed-funds-with-r/#more-8031
# 23 Sep 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC
# load packages
library(xts)
View rolling.corr.27may2016.R
# R code re: CapitalSpecator.com post for generating rolling correlations for asset class fund proxies
# "Are Correlations Between Asset Classes Rising?"
# http://www.capitalspectator.com/are-correlations-between-asset-classes-rising/
# 27 May 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC
# load packages
View var.irf.19feb2016.R
# R code re: CapitalSpecator.com post on "shock" modeling with VAR analytics:
# "Modeling "What If?" Scenarios With Impulse Response Simulations"
# http://www.capitalspectator.com/modeling-what-if-scenarios-with-impulse-response-simulations/
# 19 Feb 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC
#Load Packages
library(vars)
View risk.cont.12jan2016.R
# R code re: CapitalSpecator.com post on risk-contribution analysis:
# "Portfolio Analysis in R: Part VI | Risk-Contribution Analysis"
# http://www.capitalspectator.com/portfolio-analysis-in-r-part-vi-risk-contribution-analysis/
# 12 Jan 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC
library(quantmod)
library(tseries)
View pca.cs.29dec2015.R
# R code re: CapitalSpecator.com post on principal component analysis:
# "Portfolio Analysis in R: Part V | Risk Analysis Via Factors"
# http://www.capitalspectator.com/portfolio-analysis-in-r-part-v-risk-analysis-via-factors/#more-6777
# 29 Dec 2015
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2015 by Beta Publishing LLC
# load packages
library(xts)
View probit.cs.dec2015.R
# R code re: CapitalSpecator.com post on designing a simple probit model:
# "A (Partial) Solution For Narrative Risk: Probit Modeling"
# http://www.capitalspectator.com/a-partial-solution-for-narrative-risk-probit-modeling/
# 15 Dec 2015
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2015 by Beta Publishing LLC
# load packages
library(TTR)
View random.rebal.weights.06oct2015.R
# R code re: CapitalSpecator.com post on random rebalancing with weights:
# "Using Random Portfolios To Test Asset Allocation Strategies"
# http://www.capitalspectator.com/using-random-portfolios-to-test-asset-allocation-strategies/
# 06 Oct 2015
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2015 by Beta Publishing LLC
# load packages
library(quantmod)
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