In antshi/auxPort: Auxiliary functions for portfolio optimization

auxPort

The package auxPort provides various functions necessary fo cleaning stock data, optimizing portfolios, and evaluating their performance.

Installation

You can install this version of the package from Github with:

install.packages("devtools")
library(devtools)
install_github("antshi/auxPort")

Examples

These are basic examples to show you how to use the some of the functionality.

Example 1: Data Cleaning

library(auxPort)
dates <-  as.Date(sp500[,1], format="%d.%m.%Y", stringsAsFactors=FALSE)
find_weekends(dates)

prices <- as.matrix(sp500[,-1])
find_nas(prices, all=FALSE)
find_nas(prices, all=TRUE)

Example 2: Portfolio Optimization

returns <- sp500_rets[,-1]
Sigma <- cov(returns)
image(Sigma)

naive <- port_estim_naive(Sigma)
gmv <- port_estim_gmv(Sigma)
gmv_lasso <- port_estim_solver(Sigma, lambda1=0.0001)

matplot(cbind(naive, gmv, gmv_lasso), type="l", col=c("black", "green", "darkgreen"), lty=1, lwd=1, ylab="Weights")
legend("topleft", legend=c("Naive", "GMV", "GMV-lasso"), col=c("black", "green", "darkgreen"), lty=1, lwd=1)