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# efficient.frontier.06jun2015.R | |
# R code re: CapitalSpecator.com post on efficient frontier analytics: | |
# "Efficient Frontier Portfolios–Impractical But Still Useful" | |
# 6 July 2015 | |
# By James Picerno | |
# http://www.capitalspectator.com/efficient-frontier-portfolios-impractical-but-still-useful/ | |
# Keep in mind that results will change depending on when you run the code | |
# due to fluctuating market conditions |
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# tail.risk.1.13jul2015.R | |
# R code re: CapitalSpecator.com post on tail risk, part I: | |
# "Tail Risk Analysis In R: Part I" | |
# 13 July 2015 | |
# By James Picerno | |
# http://www.capitalspectator.com/tail-risk-analysis-in-r-part-i/#more-5707 | |
# load packages | |
library(xts) |
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# R code re: CapitalSpecator.com post on random rebalancing dates: | |
# "Skewed By Randomness" | |
# www.capitalspectator.com/skewed-by-randomness-testing-arbitrary-rebalancing-dates/#more-6039 | |
# 08 Sep 2015 | |
# By James Picerno | |
# http://www.capitalspectator.com/ | |
# (c) 2015 by Beta Publishing LLC | |
# load packages | |
library(quantmod) |
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# 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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# 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) |
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# 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) |
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# 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) |
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# 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) |
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# 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 |
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# 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) |
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