inst/examples/calculate_market_portfolio_ex.R

In gothic-hedge-society/FinancieR: Tools for Financial Data Analysis and Manipulation

# Let's pick an example date for which to create an MP:
mp_date <- "2018-01-09"
# Feel free to change this date to any other date for which you have data.

# Use calculate_historical_returns() to get the daily returns observed for the 365 days
# ending on mp_date:
historical_rtn <- calculate_historical_returns(
  assets         = stock_data,
  date_range_xts = paste0(
    as.Date(mp_date) - 365,
    "/",
    mp_date
  )
)

# Note that we get an error message about LIN: that's because PX merged Linde
# Plc during the time period we selected, and the system is alerting you that
# data for the newly merged company, which trades under "LIN", is not available.

# We'll assume that the return we expect over the next year is the annualized 
# GMMR of the daily rates of return in historical_rtn:
exp_rtn <- gmrr(historical_rtn)

# Assume that the volatilities we expect for the next year are the annualized
# daily vols we observed during the previous year:
exp_vol <- dplyr::summarize(
  tibble::as_tibble(historical_rtn),
  dplyr::across(dplyr::everything(), sd, na.rm = TRUE)
) %>%
  purrr::as_vector()

# Assume that the correlations of returns of each asset pair that we expect
# for the next year will be the same as the previous year:
exp_cor <- stats::cor(historical_rtn, use = "pairwise.complete.obs")

# Calculate the market portfolio:
mp_by_wt <- calculate_market_portfolio(exp_rtn, exp_vol, exp_cor)
mp_by_wt