Tag Archives: Finance

Parametric Portfolio Policies

By Gabriel Vasconcelos Overview There are several ways to do portfolio optimization out there, each with its advantages and disadvantages. We already discussed some techniques here. Today I am going to show another method to perform portfolio optimization that works … Continue reading

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American Bond Yields and Principal Component Analysis

By Yuri Fonseca The idea of this post is to give an empirical example of how Principal Component Analysis (PCA) can be applied in Finance, especially in the Fixed Income Market. Principal components are very useful to reduce data dimensionality … Continue reading

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