Displaying 20 results from an estimated 50000 matches similar to: "VaR package, where is it?"
2012 Feb 15
2
Control number of assets in resulting portfolio with optimizations using package fPortfolio
Dear All,
I am using package fPortfolio to run minimum variance portfolio
optimizations in R. I already know how to set portfolioSpecs, portfolio
objects and constraints. Unfortunately I am not able to set the following
type of constraints.
I have a timeSeries object with returns data for roughly 1.5k assets for 261
subperiods (workingdays) and want to compute the global minimum variance
2009 Jan 08
2
VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation
Dear R helpers
Suppose I have a portfolio of securities with exposure to Equity, Bonds and Forex (say $ 1000000 each).
Is there any fucntion in R that will help me calculate Value at Risk (VaR) using Monte carlo Simulation , Historic simulation and Variance - Covariance Simulation.
With regards
Maithili
2011 Jul 12
1
Quantitative Analyst/Quantitative Developer
Hello,
I would like to post the below position on your site.
Thanks,
Quantitative Analyst/Quantitative Developer
MSIM Global Risk & Analysis, Quantitative Research & Model Review group
Morgan Stanley Investment Management (MSIM), together with its investment advisory affiliates, has more than 680 investment professionals around the world and approximately $279 billion in assets under
2012 Jan 13
1
Portfolio Optimization
Hi,
I'm an R newbie and I've been struggling with a optimization problem for
the past couple of days now.
Here's the problem - I have a matrix of expected payouts from different
stock option strategies. Each column in my matrix represents a different
stock and each row represents the return to the strategy given a certain
market move. So the rows are not a time series of percentage
2012 Jul 23
1
Help with Portfolio Optmization
Hi,
I need some help with Portfolio Optimization problem. I am trying to find
the minimum variance portfolio subjected to constraints on weights like
/x1< w1 <x2
x3< w2 <x4</i>
I need help with solving for the minimum variance portfolio as solve.QP
doesn't allow me to specify the lower boundaries.
Thanks
Mahesh
--
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2006 Nov 10
1
Value at Risk historical simulation
Hi
Has someone got a package/script at hand to do a historical simulation
to calculate the Value at Risk?
If your not sure what Historical Simulation is:
In simple terms, Historical Simulation (HS) is just taking sample
percentiles over a moving sample. Suppose we want to use HS to predict
a portfolio's Value-at-Risk at a confidence level of 99 percent and
the window size is chosen to be 250
2009 Nov 12
0
A VaR question
Hi, I got some problem to drop a mail while using Nabble account, therefore
sending it again there. My query is following :
Hi all,
My question is not directly R related but rather a finance related question.
Therefore I was wondering wheher I find a reliable answer here.
Here I wanted to calculate VaR for basis (spot-future). There could be two
approaches : 1: Assuming basis as a portfolio of
2010 Jan 11
1
Forming Portfolios for Fama / French Regression
Hi mates,
I have a problem. I am new to R and want to conduct the Fama/French asset
pricing test. As I am from Germany, I cannot use the already computed
factors from French's website, but need to compute them myself. So I have to
sort a number of stocks into different portfolios using one factor, then
subdivide these portfolios into several more using another factor, then
compute portfolio
2005 Sep 12
0
Applied Quantitative Analytics in Finance
2005 APPLIED QUANTITATIVE ANALYTICS IN FINANCE EVENT o OCTOBER 6, 2005 o
LONDON
Please join us at the Museum of London for a series of guru-led
presentations, networking, and demonstrations by academic and business
thought leaders in finance from Basel II Committee, Swiss Union of Raiffeisen
Banks, Swiss Federal Institute of Technology (ETH) in Zurich, UBS Warburg,
Ingenious Media Plc. and
2018 Mar 01
3
RExcel issues
Hi -
For a while I've used RExcel without problems to run a repeating portfolio optimization problem where I solve for a portfolio allocation targeting a particular risk, then solve for a different risk, etc. I call the commands with (e.g.) rinterface.Rrun "(R command)"
Recently that macro started blowing up, returning #RErrors, and when I try to trace the error I find that it is
2010 Mar 12
0
R/Finance 2010
R/Finance 2010: Applied Finance with R
April 16 & 17, Chicago, IL, US
www.RinFinance.com <http://www.RinFinance.com>
The second annual R/Finance conference for applied finance using R, the
premier free software system for statistical computation and graphics,
will be held this spring in Chicago, IL, USA on Friday April 16 and
Saturday April 17, 2010.
Registration is still open and
2018 Mar 01
0
RExcel issues
> On Mar 1, 2018, at 2:02 PM, Michael Ashton <m.ashton at enduringinvestments.com> wrote:
>
> Hi -
>
> For a while I've used RExcel without problems to run a repeating portfolio optimization problem where I solve for a portfolio allocation targeting a particular risk, then solve for a different risk, etc. I call the commands with (e.g.) rinterface.Rrun "(R
2008 Mar 13
1
R Finance
Hi,
I am an R novice working with financial data. I am developing a
portfolio strategy evaluation technique to back-test the performance
of our screens; checking how the screened stock would've performed
over the period in question.
I am using quantmod in R to download the historical data from yahoo
and then analyzing it using PerformanceAnalytics. My problem is that,
as our screens are done
2010 Feb 17
0
[Reminder] R/Finance 2010: Applied Finance with R
[ Registration for R/Finance 2010 is going strong: after only ten days
of registrations one tutorial is already at 65% of capacity, and two
others are approaching the 50% mark. Tutorials are capped at fourty
participants each, the conference itself may be capped at three
hundred registrations. Conference details are provided below. ]
R/Finance 2010: Applied Finance
2006 Jun 14
2
Package naming best practices
R-devel,
I'm in the process of choosing a name for a new package. I've already
decided that the name will have two parts, 'portfolio' and 'sim', but
can't decide between 'portfolioSim' and 'portfolio.sim'. Is there any
good reason to choose one over the other?
Thanks in advance,
Jeff
--
Jeff Enos
Kane Capital Management
jeff at kanecap.com
2010 Sep 20
0
R/Finance 2011 - Call for Papers
Call for Papers:
R/Finance 2011: Applied Finance with R
April 29 and 30, 2011
Chicago, IL, USA
The third annual R/Finance conference for applied finance using R will
be held this spring in Chicago, IL, USA on April 29 and 30, 2011. The
two-day conference will cover topics including portfolio management,
time series analysis, advanced risk tools, high-performance computing,
market microstructure
2006 Mar 03
5
avoiding nil object error?
I''m a total Rails newbie and i''ve been struggling for hours today
with one (prolly very silly) problem:
I have a table portfolios that has many images:
class Portfolio < ActiveRecord::Base
has_many :images
end
class Image < ActiveRecord::Base
belongs_to :portfolios
end
In the controller i define a list of active portfolios:
@active_portfolios =
2007 Sep 21
1
fPortfolio Package
Hello,
I would like to do a portfolio optimization in R and I tried to use the
function in "fPortfolio", but it appears there does not exist such function.
Could anyone give me some advice?
Many thanks
--
View this message in context: http://www.nabble.com/fPortfolio-Package-tf4492927.html#a12813809
Sent from the R help mailing list archive at Nabble.com.
2011 Jul 07
2
elimination duplicate elements sampling!
Hi everyone!
I have a data frame with 1112 time series and I am going to randomly
sampling r samples for z times to compose different portfolio size(r
securities portfolio). As for r=2 and z=10000,that's:
z=10000
A=seq(1:1112)
x1=sample(A,z,replace =TRUE)
x2=sample(A,z,replace =TRUE)
M=cbind(x1,x2) # combination of 2 series
Because in a portfolio with x1[i]=x2[i],(i=1,2,...,10000) means a 1
2006 Mar 06
0
New package 'portfolio'
We would like to announce the availability of the 'portfolio' package
in R for analysing equity portfolios. Version 0.2-0 is now available
on CRAN. To take a look, you can:
> install.packages("portfolio")
...
> vignette("portfolio")
and play around. Those who would just like to check out an
introduction can simply look at: