Portfolio Return, Volatility and Correlation Cover Image

Portfolio Return, Volatility and Correlation in R

  • Knowledge Required: Basic knowledge of R and finance.
  • Content
    • 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.

 

August 22, 2018