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30.sim_ccm_stockPortfolio

30.sim_ccm_stockPortfolio - #=> 2 <=#=> main functions...

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########################## #===> ((((( 2 ))))) <===# #===> main functions <===# ########################## #===> obtain a lot of tickers via included data set <===# library(stockPortfolio) #DATA: ticker <- c("C", "KEY", "WFC", "JPM", "SO", "DUK", "D", "HE", "EIX", "LUV", "AMR", "AMGN", "GILD", "CELG", "GENZ", "BIIB", "CAT", "DE", "HIT", "IMO", "MRO", "HES", "YPF", "^GSPC") #===> get data <===# gr1 <- getReturns(ticker, start='1999-12-31', end='2004-12-31') summary(gr1) gr1$R # returns gr1$ticker # original ticker gr1$period # sample spacing gr1$start # when collection started gr1$end # when collection ended #===> simple model building <===# ======================================================================== #No model - classical Markowitz model: m1 <- stockModel(gr1, drop=24) # drop index summary(m1) #Find the point of tangency: op1 <- optimalPort(m1) #Type op1 to see the composition of the point of tangency: op1 #Plot the 24 stocks and point G (point of tangency): plot(op1, xlim=c(0,0.3)) #Add the portfolio possibilities curve: portPossCurve(m1, add=TRUE) #Add the tangent (the following will draw the line only up to G: segments(0,0,op1$risk,op1$R) #If you want to extend the tangent beyond G: slope <- (op1$R-0)/op1$risk segments(0,0,2*op1$risk, m1$Rf+slope*2*op1$risk) #Add a cloud of points for visualization: portCloud(m1) ========================================================================
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