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Introduction to Portfolio Analysis in R

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  • 14 Videos
  • 57 Exercises
  • 5 hours 
  • 9,977 Participants
  • 4450 XP

Instructor(s):

Kris Boudt
Kris Boudt

Kris Boudt is a Professor of Finance and Econometrics at Vrije Universiteit Brussel and Amsterdam. Since 2011, he is the research partner at Finvex, a leading financial investment designer. Kris Boudt is an expert in portfolio analysis and has contributed to the development of several smart beta equity indices and has published his research in the Journal of Portfolio Management, Journal of Financial Econometrics and the Review of Finance, among others. He has a passion for developing financial econometrics tools in R and is a coauthor of the highfrequency, PeerPerformance and PortfolioAnalytics R packages.

Collaborator(s):

Lore Dirick Lore Dirick

Josiah Parry Josiah Parry

Course Description

A golden rule in investing is to always test the portfolio strategy on historical data, and, once you are trading the strategy, to constantly monitor its performance. In this course, you will learn this by critically analyzing portfolio returns using the package PerformanceAnalytics. The course also shows how to estimate the portfolio weights that optimally balance risk and return. This is a data-driven course that combines portfolio theory with the practice in R, illustrated on real-life examples of equity portfolios and asset allocation problems. If you'd like to continue exploring the data after you've finished this course, the data used in the first three chapters can be obtained using the tseries-package. The code to get them can be found here. The data used in chapter 4 can be downloaded here.