4. ======== Efficient Equity Portfolios using the package “fPortfolio” from Rmetrics ========
Data
library(fPortfolio)
## Warning: package 'fPortfolio' was built under R version 3.2.3
## Loading required package: timeDate
## Warning: package 'timeDate' was built under R version 3.2.3
## Loading required package: timeSeries
## Warning: package 'timeSeries' was built under R version 3.2.3
## Loading required package: fBasics
## Warning: package 'fBasics' was built under R version 3.2.3
5. ##
##
## Rmetrics Package fBasics
## Analysing Markets and calculating Basic Statistics
## Copyright (C) 2005-2014 Rmetrics Association Zurich
## Educational Software for Financial Engineering and Computational Science
## Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
## https://www.rmetrics.org --- Mail to: info@rmetrics.org
## Loading required package: fAssets
## Warning: package 'fAssets' was built under R version 3.2.3
##
##
## Rmetrics Package fAssets
## Analysing and Modeling Financial Assets
## Copyright (C) 2005-2014 Rmetrics Association Zurich
## Educational Software for Financial Engineering and Computational Science
## Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
## https://www.rmetrics.org --- Mail to: info@rmetrics.org
##
##
## Rmetrics Package fPortfolio
## Portfolio Optimization
## Copyright (C) 2005-2014 Rmetrics Association Zurich
## Educational Software for Financial Engineering and Computational Science
## Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
## https://www.rmetrics.org --- Mail to: info@rmetrics.org
setwd("~/R/datasets")
dat = read.csv("Stock_Bond.csv", header = T)
prices = cbind(dat$GM_AC, dat$F_AC, dat$CAT_AC, dat$UTX_AC,
dat$MRK_AC, dat$IBM_AC)
n = dim(prices)[1]
returns = 100 * (prices[2:n, ] / prices[1:(n-1), ] - 1)
pairs(returns)