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Factor Evaluation in Quantitative Portfolio Management
When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later...
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The Rise of the Robots (Advisors…)
The Asset Management industry is on the verge of a major change. Over the last couple of years Robots Advisors (RA) have emerged as new players. The term itself is hard to define as it encompasses a...
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Introducing fidlr: FInancial Data LoadeR
fidlr is an RStudio addin designed to simplify the financial data downloading process from various providers. This initial version is a wrapper around the getSymbols function in the quantmod package...
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Trading strategy: Making the most of the out of sample data
When testing trading strategies a common approach is to divide the initial data set into in sample data: the part of the data designed to calibrate the model and out of sample data: the part of the...
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BERT: a newcomer in the R Excel connection
A few months ago a reader point me out this new way of connecting R and Excel. I don’t know for how long this has been around, but I never came across it and I’ve never seen any blog post or article...
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