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Intermediate Portfolio Analysis in R

MellanliggandeFärdighetsnivå

Uppdaterad 2020-06

Advance you R finance skills to backtest, analyze, and optimize financial portfolios.

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RApplied Finance5 timmar12 videos42 exercises3,250 XP12,550Uttalande om prestation

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Kursbeskrivning

This course builds on the fundamental concepts from Introduction to Portfolio Analysis in R and explores advanced concepts in the portfolio optimization process. It is critical for an analyst or portfolio manager to understand all aspects of the portfolio optimization problem to make informed decisions. In this course, you will learn a quantitative approach to apply the principles of modern portfolio theory to specify a portfolio, define constraints and objectives, solve the problem, and analyze the results. This course will use the R package PortfolioAnalytics to solve portfolio optimization problems with complex constraints and objectives that mirror real world problems.

Förkunskapskrav

Introduction to Portfolio Analysis in R

1

Introduction and Portfolio Theory

This chapter will give you a brief review of Modern Portfolio Theory and introduce you to the PortfolioAnalytics package by solving a couple portfolio optimization problems.

Welcome to the course!

Load the PortfolioAnalytics package

Solve a simple portfolio optimization problem

Visualize results

Modern Portfolio Theory objective

Defining risk

Challenges of portfolio optimization

Quadratic utility

Maximize quadratic utility function

Introduction to PortfolioAnalytics

Key design goals

2

Portfolio Optimization Workflow

The focus of this chapter is a detailed overview of the recommended workflow for solving portfolio optimization problems with PortfolioAnalytics. You will learn how to create a portfolio specification, add constraints, objectives, run the optimization, and analyze the results of the optimization output.

Portfolio specification, constraints, and objectives

Create a portfolio specification

Add constraints

Add objectives

Running optimizations

Single-Period optimization

Optimization with periodic rebalancing

Global solvers

Analyzing optimization results

Objective measure values

Optimal weights

3

Objective Functions and Moment Estimation

In this chapter, you will learn about estimating moments, characteristics of the distribution of asset returns, as well as custom objective functions.

Introduction to moments

Sample moment estimates

Advanced moment estimates

Method for estimating moments

Custom moment functions

Define a custom moment function

Optimization with custom moment function

Objective functions

Custom objective function

Optimization with custom objective function

4

Application

In the final chapter of the course, you will solve a portfolio optimization problem that mimics a real world real world example of constructing a portfolio of hedge fund strategy with different style definitions.

Application

Compute benchmark returns

Define the portfolio optimization problem

Optimization backtest

Backtest with periodic rebalancing

Refine constraints and objectives

Do improved estimates lead to improved performance?

Analyze results and compare to benchmark

Congratulations!

Intermediate Portfolio Analysis in R

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