Learn R Programming

RMOPI (version 1.1)

Risk Management and Optimization for Portfolio Investment

Description

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) ).

Copy Link

Version

Install

install.packages('RMOPI')

Monthly Downloads

238

Version

1.1

License

GPL (>= 2)

Maintainer

Wei Ling

Last Published

August 22nd, 2022

Functions in RMOPI (1.1)

InvestmentPortfolio

Construct Portfolio

F_k Coefficients

Approximate the Option Price with the COS Method

The Characteristic Function of Normal Distribution

Summary Statistics

Plot the Probability Density Functions

Rearrange the data from LogErrorCosPdf for plot

Buy and Hold Backtest

Stack Rets for ggplot

Plot the Acf Figure

VaR Calculation and Coverage Test

Simulate a Garch Series

Simulate prices series of stocks

Distribution Recovery with the COS method for Different parameters

Plot the Probability Density Function

Distribution Recovery with the COS method

Simulate Stocks Prices

Simulate stock trade data

Calculate Sharp Ratio with stock prices

The Characteristic Function of Standard Normal Distribution

Simulate a single stock price series

Plot the Histogram Figure

Plot the Time Series

Plot the Box Figure

Simulate Multivariate Stock Trade Data

Simulate Multivariate Stocks Prices Data

Plot the Pacf Figure

Calculate Useful Indicators for returns

Simulate a Garch Series

The Value Function of European Call Option

Summary Statistics of Vector

Calculate the Absolute Error of the COS Method