Publications by Mark Raphael T. Flores
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library(pacman) p_load(quantmod, quadprog, lpSolve) library(SIT) ## Loading required package: SIT.date ## ## Attaching package: 'SIT' ## The following object is masked from 'package:TTR': ## ## DVI ## The following object is masked from 'package:base': ## ## close 1. Download 10 industry portfolio returns (average value-weighte...
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Fama French 3 factor model Practice
#======================================== # FamaFrench_mon_69_98_3stocks # one factor model # ff three factor model #======================================== rm(list=ls()) library(reshape) ## Warning: package 'reshape' was built under R version 4.0.5 library(tidyverse) ## -- Attaching packages --------------------------------------- tidyverse 1....
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Midterm Exam: Portfolio Analysis
library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overwritten by 'quantmod': ## method from ## as.zoo.data.frame zoo ...
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Backtesting CAPM, FF3F & PCA
https://palomar.home.ece.ust.hk/MAFS6010R_lectures/Rsession_factor_models.html#final_comparison_of_covariance_matrix_estimations_via_different_factor_models https://systematicinvestor.wordpress.com/2012/03/19/backtesting-asset-allocation-portfolios/ rm(list = ls()) library(lubridate) ## ## Attaching package: 'lubridate' ## The following object...
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CAPM & FF3F
https://palomar.home.ece.ust.hk/MAFS6010R_lectures/Rsession_factor_models.html#final_comparison_of_covariance_matrix_estimations_via_different_factor_models https://systematicinvestor.wordpress.com/2012/03/19/backtesting-asset-allocation-portfolios/ rm(list = ls()) library(lubridate) ## ## Attaching package: 'lubridate' ## The following object...
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Homework 6
Loading the Packages library(quantmod) ## Warning: package 'quantmod' was built under R version 4.0.5 ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 me...
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HW6_TESTING
#BT02_MVP.R is the backtesting reference # Load libraries library(tidyquant) ## Loading required package: lubridate ## ## Attaching package: 'lubridate' ## The following objects are masked from 'package:base': ## ## date, intersect, setdiff, union ## Loading required package: PerformanceAnalytics ## Loading required package: xts ## Loading ...
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Final Project: Investment Portfolio Analysis
rm(list = ls()) library(lubridate) ## ## Attaching package: 'lubridate' ## The following objects are masked from 'package:base': ## ## date, intersect, setdiff, union library(timetk) library(purrr) library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objec...
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Final 2021 solution testing
https://palomar.home.ece.ust.hk/MAFS6010R_lectures/Rsession_factor_models.html#final_comparison_of_covariance_matrix_estimations_via_different_factor_models https://systematicinvestor.wordpress.com/2012/03/19/backtesting-asset-allocation-portfolios/ rm(list = ls()) library(lubridate) ## ## Attaching package: 'lubridate' ## The following objec...
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Dashboard
Stock Selection Stock Price -From stock price, we find that: + FaceBook’s and Apple’s stock price steadily rised in the past 4 years. + The most volatile stock is AliNVDA. + SBAC has the lowest price, but it has a steady growing trend. Column {.tabset data-width=600} Stock Return Column {.tabset data-width=600} Key Factors Column {.t...
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