Algorithmic-Portfolio-Management-in-R-programming-language

This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), and other active portfolio management strategies. The course implements volatility and price forecasting models, asset pricing and factor models, and portfolio optimization. The course applies machine learning techniques, such as backtesting (cross-validation) and parameter regularization (shrinkage).

Although it mainly talks about some frequently-used package in R, it also covers some advanced financial topic, eg. calculate the time series of returns from the time series of principal components with the largest eigenvalues which sum up to at least 80% of the total variance.

<img width="574" alt="calculate the time series of returns from the time series of principal components with the largest eigenvalues which sum up to at least 80 of the total variance" src="https://user-images.githubusercontent.com/33269462/44306052-c1467280-a354-11e8-9deb-aa81b8d98dc0.png">