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Investment technology for the 21st century.
Portfolio Probe Cookbook

The Portfolio Probe Cookbook on the Portfolio Probe website is now populated.  The link is: http://www.portfolioprobe.com/user-area/documentation/portfolio-probe-cookbook/

The pages have examples -- that you can do yourself -- of commands in R.  (They will be quite similar in S+.)  The examples use the pprobeData R package that is a slightly modified set of equity data that can be used for whatever purposes you like.

There are pages that can be put into three categories:

  • tasks for R in general
  • tasks for R in finance
  • tasks using Portfolio Probe
General R tasks

There are pages about reading data into R, and a page explaining packages in R.

Finance with R

There are pages explaining how to convert a price matrix into a return matrix, how to turn a return matrix into a suitable variance matrix, and how to add a benchmark to a variance matrix.

The operations with variances use the BurStFin R package: http://www.portfolioprobe.com/2012/02/16/the-burstfin-r-package/

Using Portfolio Probe

There are pages that explain how to generate simple random portfolios, and how to add some additional constraints.  Likewise, there are pages explaining how to do simple portfolio optimizations, and how to add some additional constraints.

There will be more pages in the fullness of time.

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