Tidy Portfoliomanagement in R
Preface
Why read this book
Structure of the book
Prerequisites
Acknowledgments
1
Introduction
1.1
Introduction to Timeseries
1.1.1
Date and Time
1.1.2
eXtensible Timeseries
1.1.3
Downloading timeseries and basic visualization with quantmod
1.2
Introduction to the
tidyVerse
1.2.1
Tibbles
1.2.2
Summary statistics
1.2.3
Plotting
2
Managing Data
2.1
Getting Data
2.1.1
Downloading from Online Datasources
2.1.2
Manipulate Data
3
Exploring Data
3.1
Plotting Data
3.1.1
Time-series plots
3.1.2
Box-plots
3.1.3
Histogram and Density Plots
3.1.4
Quantile Plots
3.2
Analyzing Data
3.2.1
Calculating Statistics
3.2.2
Testing Data
3.2.3
Exposure to Factors
4
Managing Portfolios
4.1
Introduction
4.2
Tools for Portfolio Management
4.2.1
The Portfolio Object
4.2.2
Constraints
4.2.3
Objectives
4.2.4
Solvers
4.3
Optimization examples
4.3.1
Mean-variance Portfolios
4.3.2
Mean-CVaR Portfolios
5
Managing Portfolios in the Real World
5.1
Rolling Portfolios
5.2
Backtesting
6
Further applications in Finance
6.1
Portfolio Sorts
6.2
Fama-MacBeth-Regressions
6.3
Risk Indices
7
References
References
7.1
Introduction to R
7.1.1
Getting started
7.1.2
Working directory
7.1.3
Basic calculations
7.1.4
Mapping variables
7.1.5
Sequences, vectors and matrices
7.1.6
Vectors and matrices
7.1.7
Functions in R
7.1.8
Plotting
7.1.9
Control Structures
Published with bookdown
Tidy Portfoliomanagement in R
Chapter 5
Managing Portfolios in the Real World
5.1
Rolling Portfolios
5.2
Backtesting