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Slides package fitHeavyTail in R/Finance 20233 years ago
fitHeavyTail 0.2.0.9000Daniel P. Palomar slides-RFinance2023.pdf.asis
intradayModel: Modeling and Forecasting Financial Intraday Signals3 years ago
Quick start | Usage of the package | Preliminary theory | Datasets | Fitting | Decomposition | Forecasting | Next steps | References
intradayModel 0.0.1.9000| Shengjie Xiu, Yifan Yu, and Daniel P. Palomar | The Hong Kong University of Science and Technology (HKUST)intradayModel.Rmd
Design of High-order Portfolios6 years ago
highOrderPortfolios 0.1.1Daniel P. Palomar DesignOfHighOrderPortfolios.html.asis
Imputation of Financial Time Series7 years ago
imputeFin 0.1.2.9000Daniel P. Palomar ImputeFinancialTimeSeries.html.asis
Mean Vector and Covariance Matrix Estimation under Heavy Tails7 years ago
fitHeavyTail 0.2.0.9000Daniel P. Palomar CovarianceEstimationHeavyTail.html.asis
Slides R/Finance 20197 years ago
Markowitz Portfolio | Risk Parity Portfolio | Package riskParityPortfolio
riskParityPortfolio 0.2.2.9000Daniel P. Palomar slides-RFinance2019.pdf.asis
Slides RPP - Convex Optimization Course (HKUST)7 years ago
Introduction | Warm-Up: Markowitz Portfolio | Risk Parity Portfolio | Conclusions
riskParityPortfolio 0.2.2.9000Daniel P. Palomar slides-ConvexOptimizationCourseHKUST.pdf.asis
Design of Risk Parity Portfolios7 years ago
riskParityPortfolio 0.2.2.9000Daniel P. Palomar RiskParityPortfolio.html.asis
Portfolio Backtesting7 years ago
portfolioBacktest 0.4.2Daniel P. Palomar PortfolioBacktest.html.asis
Design of Portfolio of Stocks to Track an Index (html)7 years ago
sparseIndexTracking 0.1.1.9000Daniel P. Palomar SparseIndexTracking.html.asis
Design of Portfolio of Stocks to Track an Index (pdf)7 years ago
Comparison with other packages | Usage of the package | Explanation of the algorithms | References
sparseIndexTracking 0.1.1.9000Daniel P. Palomar SparseIndexTracking-pdf.pdf.asis
Computing Sparse Eigenvectors of a Matrix8 years ago
Comparison with other packages | Usage of the package | Computation of sparse eigenvectors of a given matrix | Covariance matrix estimation with sparse eigenvectors | Complex-valued inputs | Explanation of the algorithms | spEigen(): Sparse eigenvectors from a given covariance matrix | spEigenCov(): Covariance matrix estimation with sparse eigenvectors | References
sparseEigen 0.1.0.9000Konstantinos Benidis and Daniel P. PalomarSparseEigenvectors-vignette.Rmd