This chapter will give you a brief review of Modern Portfolio Theory and introduce you to the PortfolioAnalytics package by solving a couple portfolio optimization problems.

Welcome to the course!

Load the PortfolioAnalytics package

Solve a simple portfolio optimization problem

Visualize results

Modern Portfolio Theory objective

Defining risk

Challenges of portfolio optimization

Quadratic utility

Maximize quadratic utility function

Introduction to PortfolioAnalytics

Key design goals

Introduction and Portfolio Theory

The focus of this chapter is a detailed overview of the recommended workflow for solving portfolio optimization problems with PortfolioAnalytics. You will learn how to create a portfolio specification, add constraints, objectives, run the optimization, and analyze the results of the optimization output.

Portfolio specification, constraints, and objectives

Create a portfolio specification

Add constraints

Add objectives

Running optimizations

Single-Period optimization

Optimization with periodic rebalancing

Global solvers

Analyzing optimization results

Objective measure values

Optimal weights

Portfolio Optimization Workflow

In this chapter, you will learn about estimating moments, characteristics of the distribution of asset returns, as well as custom objective functions.

Pengantar momen

Estimasi momen sampel

Estimasi momen lanjutan

Metode untuk mengestimasi momen

Fungsi momen kustom

Mendefinisikan fungsi momen kustom

Optimisasi dengan fungsi momen kustom

Fungsi objektif

Fungsi objektif kustom

Optimisasi dengan fungsi objektif kustom

Objective Functions and Moment Estimation

In the final chapter of the course, you will solve a portfolio optimization problem that mimics a real world real world example of constructing a portfolio of hedge fund strategy with different style definitions.

Application

Compute benchmark returns

Define the portfolio optimization problem

Benchmark

Optimization backtest

Backtest with periodic rebalancing

Refine constraints and objectives

Do improved estimates lead to improved performance?

Analyze results and compare to benchmark

Congratulations!

Portfolio specifications object I

Portfolio specifications object II

Set of random portfolios I

Set of random portfolios II

Kursus ini membangun konsep dasar dari Introduction to Portfolio Analysis in R dan membahas konsep lanjutan dalam proses optimasi portofolio. Bagi analis atau manajer portofolio, memahami seluruh aspek permasalahan optimasi portofolio sangatlah penting untuk membuat keputusan yang tepat. Dalam kursus ini, Anda akan mempelajari pendekatan kuantitatif untuk menerapkan prinsip-prinsip teori portofolio modern guna menyusun spesifikasi portofolio, mendefinisikan batasan dan tujuan, menyelesaikan permasalahan, serta menganalisis hasilnya. Kursus ini akan menggunakan paket R PortfolioAnalytics untuk menyelesaikan permasalahan optimasi portofolio dengan batasan dan tujuan yang kompleks yang mencerminkan permasalahan dunia nyata.

Introduction to Portfolio Analysis in R

Pelajari prinsip teori portofolio modern untuk menentukan portofolio, batasan, tujuan, dan analisis.

Analisis Portofolio Tingkat Menengah di R

Tingkatkan keterampilan keuangan Anda untuk melakukan backtesting, menganalisis, dan mengoptimalkan portofolio keuangan.

Dasar-Dasar Keuangan di R

Analis Kuantitatif  di R

Metode untuk mengestimasi momen

Analisis Portofolio Tingkat Menengah di R

Latihan interaktif praktis