R packages by bonsook

REN - Regularization Ensemble for Robust Portfolio Optimization

Portfolio optimization is achieved through a combination of regularization techniques and ensemble methods that are designed to generate stable out-of-sample return predictions, particularly in the presence of strong correlations among assets. The package includes functions for data preparation, parallel processing, and portfolio analysis using methods such as Mean-Variance, James-Stein, LASSO, Ridge Regression, and Equal Weighting. It also provides visualization tools and performance metrics, such as the Sharpe ratio, volatility, and maximum drawdown, to assess the results.

Last updated 5 months ago

5.04 score 1 stars 2 scripts 148 downloads

ycevo - Nonparametric Estimation of the Yield Curve Evolution

Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014> describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.

Last updated 9 months ago

cppopenmp

4.59 score 7 stars 3 scripts 207 downloads