In jspinney-nbimc/mqim6604: R package for MQIM 6604 - Quantitative Portfolio Management at UNB

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

Introduction

TBC

Usage

TBC

Installing and Loading the Package

Install the package via the devtools install_github() function:

# if devtools not installed
#install.packages("devtools")
#library(devtools)
install_github("jspinney-nbimc/mqim6604")

Load the package with

library(mqim6604)

Data Included in the Package

CDN_LC_STOCKS_RETURN_DATA

This data set contains historical daily total returns on a set of 50 randomly selected Canadian stocks from 2015-01-02 to 2018-02-28.

CDN_LC_STOCKS_DESC_DATA

Matched with the CDN_LC_STOCKS_RETURN_DATA dataset, this dataset provides descriptive data (sector, market capitalization, etc.) on a set of 50 randomly selected Canadian stocks as of Feb 28, 2018.

Functions

EstimateHedge( target_var , hedge_vars)

GetHistoricalPricesYahoo()

Newton()

RandPorts()

SolveRiskParity()

Acknowledgments

TBC

Legal

All code of the mqim6604 package is licensed under the MIT license.

All data included in the package is either sourced from publicly available locations or provided with permission by the data owner.

jspinney-nbimc/mqim6604 documentation built on May 25, 2019, 6:25 p.m.