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Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis > 프로그래밍

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Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis
판매가격 79,000원
저자 onathan K. Regenstein, Jr
도서종류 외국도서
출판사 Chapman & Hall
발행언어 영어
발행일 2018
페이지수 230
ISBN 9781138484030
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  • 도서 정보

    도서 상세설명

    Table of Contents

    Chapter 1

    Introduction

    Returns

    Chapter 2

    Asset Prices to Returns

    Converting Daily Prices to Monthly Returns in the xts world

    Converting Daily Prices to Monthly Returns in the tidyverse

    Converting Daily Prices to Monthly Returns in the tidyquant world

    Converting Daily Prices to Monthly Returns with tibbletime

    Visualizing Asset Returns in the xts world

    Visualizing Asset Returns in the tidyverse

    Chapter 3

    Building a Portfolio

    Portfolio Returns in the xts world

    Portfolio Returns in the tidyverse

    Portfolio Returns in the tidyquant world

    Visualizing Portfolio Returns in the xts world

    Visualizing Portfolio Returns in the tidyverse

    Shiny App Portfolio Returns

    Concluding Returns

    Risk

    Chapter 4

    Standard Deviation

    Standard Deviation in the xts world

    Standard Devation in the tidyverse

    Standard Deviation in the tidyquant world

    Visualizing Standard Deviation

    Rolling Standard Deviation

    Rolling Standard Deviation in the xts world

    Rolling Standard Deviation in the tidyverse

    Rolling Standard Devation with the tidyverse and tibbletime

    Rolling Standard Deviation in the tidyquant world

    Visualizing Rolling Standard Deviation in the xts world

    Visualizing Rolling Standard Deviation in the tidyverse

    Shiny App Standard Deviation

    Chapter 5

    Skewness

    Skewness in the xts world

    Skewness in the tidyverse

    Visualizing Skewness

    Rolling Skewness in the xts world

    Rolling Skewness in the tidyverse with tibbletime

    Rolling Skewness in the tidyquant world

    Visualizing Rolling Skewness

    Chapter 6

    Kurtosis

    Kurtosis in the xts world

    Kurtosis in the tidyverse

    Visualizing Kurtosis

    Rolling Kurtosis in the xts world

    Rolling Kurtosis in the tidyverse with tibbletime

    Rolling Kurtosis in the tidyquant world

    Visualizing Rolling Kurtosis

    Shiny App Skewness and Kurtosis

    Concluding Risk

    Portfolio Theory

    Chapter 7

    Sharpe Ratio

    Sharpe Ratio in the xts world

    Sharpe Ratio in the tidyverse

    Shape Ratio in the tidyquant world

    Visualizing Sharpe Ratio

    Rolling Sharpe Ratio in the xts World

    Rolling Sharpe Ratio with the tidyverse and tibbletime

    Rolling Sharpe Ratio with tidyquant

    Visualizing the Rolling Sharpe Ratio

    Shiny App Sharpe Ratio

    Chapter 8

    CAPM

    CAPM and Market Returns

    Calculating CAPM Beta

    Calculating CAPM Beta in the xts world

    Contents v

    Calculating CAPM Beta in the tidyverse

    Calculating CAPM Beta in the tidyquant world

    Visualizing CAPM with ggplot

    Augmenting Our Data

    Visualizing CAPM with highcharter

    Shiny App CAPM

    Chapter 9

    Fama French

    Importing and Wrangling Fama French

    Visualizing Fama French with ggplot

    Rolling Fama French with the tidyverse and tibbletime

    Visualizing Rolling Fama French

    Shiny App Fama French

    Concluding Portfolio Theory

    Practice and Applications

    Chapter 10

    Component Contribution to Standard Deviation

    Component Contribution Step-by-Step

    Component Contribution with a Custom Function

    Visualizing Component Contribution

    Rolling Component Contribution to Volatility

    Visualizing Rolling Component Contribution to Volatility

    Shiny App Component Contribution

    Chapter 11

    Monte Carlo Simulation

    Simulating Growth of a Dollar

    Several Simulation Functions

    Running Multiple Simulations

    Visualizing Simulation Results

    Visualizing with highcharter

    Shiny App Monte Carlo

    Concluding Practice Applications
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