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2d
comment What are the canonical books for statistics applied to finance?
Meucci, also gives source code in matlab on his website which is invaluable for understanding some of the tools/techniques, even though it's in matlab.
2d
answered Free access to official real-time and intraday data for exchanges
2d
answered How consequential are violations of the efficient diversification assumption of asset pricing models?
Dec
15
revised Critical Appraisal of Approaches countering Parameter Uncertainty in Portfolio Optimization
fixed spelling/grammar
Dec
15
answered Critical Appraisal of Approaches countering Parameter Uncertainty in Portfolio Optimization
Dec
15
awarded  Yearling
Dec
15
answered Technical Analysis in FX: literature on effective methods
Dec
15
answered Python code to download historical firm data
Dec
15
answered Am I in a long or short position in this case? (Cross hedging)
Dec
15
answered Can classical economics explain *any* of the so-called stylized facts of finance?
Dec
15
answered Is there a way to adjust R PerformanceAnalytics function VaR with EWMA or GARCH method?
Sep
17
comment multiperiod optimization using R
Generally most R functions (in the returnanlytics libraries) accept continuous (e.g. log) or arithmetic returns. However PortA is highly customizable so you can modify and insert whatever you like.
Sep
16
awarded  Commentator
Sep
16
comment multiperiod optimization using R
PortfolioAnalytics allows you to choose the optimizer, There are 5 (iirc) choices and one of them includes differential evolution. There is also an optimize that re balances over time. As it is all open source you can refer to the source code for the inner workings of the package.
Sep
16
revised multiperiod optimization using R
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Sep
16
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Good question: You are defining log returns by log(PriceNew/Priceold) correct? It would actually think the returns you inputted are "Arithmetic" for each period and give you arithmetic outputs. Returns are not additive for cumulative return you will need to use the Return.cumulative(Return.portfolio(Returns,weights)) or rowSums(weight_matrix*Return_matrix) for the case of where dim(weight_matrix)== dim(Return_matrix)
Sep
15
awarded  Yearling
Sep
15
answered multiperiod optimization using R
Sep
15
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
"As output I get an xts object with the return per period. are these returns simple or continuous, i.e. can I just sum them up to get the cumulative return over the whole period?" To get the cumulative return please use the Return.cumulative function as you will need to compound them. Return.cumulative(Return.portfolio(edhec,weights))
Sep
15
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
To your question contained in the fourth comment: "Assume we have two rebalancing dates (of weights): 1st of January and 1st of March. Returns are on a daily basis. So all returns between 2nd of January and 1st of March are multiplied by the weights given on the 1st of Jan, correct?" The answer would be no, each return is multipled by the previous periods equity in the position. Unless if it is a rebalancing date then it's by the weight.