Publications by Jaehyun Ahn
Assignment #5 Working on
I. Download monthly data for J.P.Morgan Chase (JPM) for the period January, 2014 to today. Use the data for the following tests: #Import tidyquant to get stock prices library(tidyquant) ## 필요한 패키지를 로딩중입니다: lubridate ## ## 다음의 패키지를 부착합니다: 'lubridate' ## The following objects are masked from 'pack...
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PCA
library(DT) library(tidyquant) ## 필요한 패키지를 로딩중입니다: lubridate ## ## 다음의 패키지를 부착합니다: 'lubridate' ## The following objects are masked from 'package:base': ## ## date, intersect, setdiff, union ## 필요한 패키지를 로딩중입니다: PerformanceAnalytics ## 필요한 패키지를 로딩�...
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ARIMA Model
#Import Libraries library(DT) library(tidyquant) ## 필요한 패키지를 로딩중입니다: lubridate ## ## 다음의 패키지를 부착합니다: 'lubridate' ## The following objects are masked from 'package:base': ## ## date, intersect, setdiff, union ## 필요한 패키지를 로딩중입니다: PerformanceAnalytics ## 필요한 �...
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Assignment #4
1- Download monthly data for the time period 2018M1 to present, for Apple Corporation (AAPL) and S&P 500. Do the following estimates and the tests: #Download Libraries library(tidyquant) ## 필요한 패키지를 로딩중입니다: lubridate ## ## 다음의 패키지를 부착합니다: 'lubridate' ## The following objects are masked from 'pa...
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Revised Risk Parity
This document will create a portfolio using the Risk-Parity strategy (equal variance) and compare the performance with Equal Weight portfolio and Tangency Portfolio. Risk-Parity portfolio aims to provide diversification effect among different asset classes by constructing protfolio that contributes same risk for each different asset class. Refe...
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RSI
RSI Visualization library(quantmod) ## 필요한 패키지를 로딩중입니다: xts ## 필요한 패키지를 로딩중입니다: zoo ## ## 다음의 패키지를 부착합니다: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## 필요한 패키지를 로딩중입니다: TTR ## Registered S...
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Bollinger Band
#Import libraries library(quantmod) ## 필요한 패키지를 로딩중입니다: xts ## 필요한 패키지를 로딩중입니다: zoo ## ## 다음의 패키지를 부착합니다: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## 필요한 패키지를 로딩중입니다: TTR ## Registered ...
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Risk Parity Portfolio
This document will create a portfolio using the Risk-Parity strategy (equal variance) and compare the performance with Equal Weight portfolio and Tangency Portfolio. Reference:https://cran.r-project.org/web/packages/riskParityPortfolio/vignettes/RiskParityPortfolio.html Portfolio Construction #Import Library library(tidyquant) ## 필요한 패�...
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Assignment #3
#Q1 You are to decide whether to include Advanced Micro Devices Inc. (AMD) in the portfolio that you are managing under the ticker QQQ. Download monthly data for the period 2015M1 to present for AMD. Find b coefficient for AMD. Graph SML for QQQ and use it to decide whether you should include AMD in your QQQ portfolio or not. Do an interpretat...
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FBE 543 #2 Working
UNIVERSITY OF SOUTHERN CALIFORNIA Marshall School of Business FBE 543 Forecasting and Risk Analysis M. Safarzadeh Assignment #2 1- Download monthly data for the time period 2018M1 – 2022M12, for Apple Corporation (AAPL) and S&P 500. Do the following estimates and the tests: #Import quantmod library(quantmod) ## 필요한 패키지를 로딩�...
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