jpicerno1
jpicerno1
/ replicate.10oct2017
Last active
November 24, 2022 04:11
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ var.irf.19feb2016.R
Last active
July 17, 2020 08:36
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ random.rebalancing.a.08sep2015.R
Last active
January 21, 2019 02:05
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ rolling.corr.27may2016.R
Last active
September 18, 2018 14:55
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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 |
jpicerno1
/ combo.forecast.22dec2016.R
Last active
September 18, 2018 14:55
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ evt.risk.07feb2017.R
Last active
February 7, 2017 17:26
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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 |
jpicerno1
/ risk.mgd.fund.analysis.23sep2016.R
Last active
September 23, 2016 12:32
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ random.rebal.weights.06oct2015.R
Last active
May 19, 2016 16:30
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ risk.cont.12jan2016.R
Last active
January 12, 2016 15:12
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
jpicerno1
/ pca.cs.29dec2015.R
Last active
December 29, 2015 15:09
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # 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) |
NewerOlder