Financial Risk Modelling and Portfolio Optimization with R

Resolution of Optimization Problems and Construction of Efficient Portfolios: An Application to the Euro Stoxx 50 Index

“…The impact of asset volatility is lower in the more diversified portfolio compared with the minimum-variance portfolio (see Pfaff, 2013). The weights are retrieved by intermediate vector rescaling weights with standard deviations of asset returns.…”

“…For example, the following nonparametric method for estimating of λ L is derived from a mixture of co-monotonous copula and independent copula. The lower tail dependence coefficient is the weight parameter between the two copulas (see Pfaff, 2013). So that…”

“…The portfolio optimization is expressed in discrete terms and the objective is defined as maximizing the annualized average return of the portfolio, (see Pfaff, 2013).…”

LP Algorithms for Portfolio Optimization: The PortfolioOptim Package

“…General purpose optimization tools are reviewed by Theussl and Borchers (2016) (R packages for solving optimization problems) and Koenker and Mizera (2014) (R packages for convex optimization). The book by Pfaff (2016) provides an overview of specific functions for portfolio optimization which are embedded in financial packages. Here we mention a selection of R-packages dedicated primarily to portfolio optimization.…”

Otimização de uma carteira de ativos setoriais utilizando o modelo Black-Litterman

“…Podemos entender como excesso de retorno a diferença do retorno efetivo da carteira em relação a um outro ativo. Outro atrativo desse modelo é oferecer alternativas para os problemas encontrados com o modelo de Markowitz [9] [10] que considera as carteiras altamente concentradas e possui grande sensibilidade para pequenas mudanças nos valores esperados. É reconhecido que Markowitz mudou o paradima do gerenciamento dos investimentos abrindo caminho para uma série de implementações estatísticas sobre como alocar os ativos em uma carteira de investimentos.…”