New R Program

In: Philosophy and Psychology

Submitted By hidan
Words 663
Pages 3
R Tools for Portfolio Optimization
Guy Yollin
Quantitative Research Analyst Rotella Capital Management Bellevue, Washington

Backgrounder
Rotella Capital Management
Quantitative Research Analyst Systematic CTA hedge fund trading 80+ global futures and foreign exchange markets

Insightful Corporation
Director of Financial Engineering Developers of S-PLUS®, S+FinMetrics®, and S+NuOPT®

J.E. Moody, LLC
Financial Engineer Futures Trading, Risk Management, Business Development

OGI School of Engineering at Oregon Health & Science University
Adjunct Instructor Statistical Computing & Financial Time Series Analysis

Electro Scientific Industries, Inc
Director of Engineering, Vision Products Division Machine Vision and Pattern Recognition

Started Using R in 1999

R Tools for Portfolio Optimization

2

Introduction
DJIA: 12/02/2008 - 04/15/2009
100
GM C

80

IBM

annualized return (%)

JPM

60

INTC HD

DD

GE

PG

BAC

R-SIG-FINANCE QUESTION: stock price 90

40

MMM

20

KFT XOM PFE CVX JNJ VZ HPQ MCD KO UTX WMT T

CAT MRK AXP

BA

Can I do < fill in the blank > portfolio optimization in R?

MSFT DIS AA

0

IBM: 12/02/2008 - 04/15/2009
0 100 5 10 conditional value-at-risk (%) 15 20

95

80

85

Maximum Drawdown

Jan

Mar

ANSWER: drawdown (%)

IBM Underwater Graph
0 -5

P/L Distribution
-10 -15

Yes!

(98% confidence level)

0.12

0.14

Jan

Mar

0.10

VaR 0.08 Density

CVaR 0.06 0.00 -15 0.02 0.04

-10

-5 daily return

0

5

10

R Tools for Portfolio Optimization

3

Outline
Mean-Variance Portfolio Optimization quadratic programming tseries, quadprog

Conditional Value-at-Risk Optimization linear programming Rglpk_solve_LP package

General Nonlinear Optimization
Differential Evolution Algorithm DEoptim package
Omega Optimization…...

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