Empirical Equity Portfolio Performance
Classical performance measures:
Notes
Basic example
example.txt
: data for the example
Example calculations using
octave/matlab
Example calculations using
R
Example calculations using
Julia
Timing example
timing_example.txt
: data for the example
Example calculations using
octave/matlab
R
Example: Estimating the alpha of some US It stocks
Notes
R code - reading data
read_it_data.R
R code - estimating alpha:
estimate_it_alpha.R