Dear users Can you please advice some books that deals with Portfolio optimalization and copula models with R examples? Thank you Jan
Copula and Portfolio
2 messages · babel at centrum.sk, Guy Yollin
Hi Jan, A very good resource for learning about copulas in R is the paper "Enjoy the Joy of Copulas: With a Package copula" by Jun Yan. It was published in the Journal of Statistical Software in 2007 and is available here: http://www.jstatsoft.org/v21/i04/paper Working through the examples in this paper will be very informative. Also the nice thing about the copula package is that it is able to fit copulas of more the 2 dimensions which allows you to solve real-world problems compared to other copula packages that only fit 2-dimensional copulas. Another feature of this package is the capability to create a multivariate distribution object from the fitted copula (mvdc) and simulate from the multivariate distribution (rmvdc). There are a number of tools for performing portfolio optimization with R. Without being self-serving, perhaps a good overview is provided in this presentation for R/Finance 2009: http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf There are also a number of discussions on using portfolio.optim from the tseries package on this board which may be a good way to get started. Best, Guy
On 6/9/2011 7:36 AM, babel at centrum.sk wrote:
Dear users Can you please advice some books that deals with Portfolio optimalization and copula models with R examples? Thank you Jan
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.