Portfolio Return, Volatility and Correlation in R
- Knowledge Required: Basic knowledge of R and finance.
- How to combine portfolio returns using portfolio weights
- How to clean data, deal with missing values and find date ranges for each series
- How to calculate annualised volatility for each series and a portfolio
- How to visualise the return distributions with a multiple return series histogram
- How to calculate correlation and visualise the correlation structure with a multiple scatter plot
- How to visualise and understand asset relationships a large correlation matrix with a tree structure called a dendrogram
- How to visualise the variation of correlation over time with a rolling correlation plot
The goal of this course is to add to your R toolkit for analysing portfolios and visualising return distributions.
This is neither an R primer nor an introduction to finance. If you have some familiarity with both R and finance this will help you deepen your knowledge.