The table below provides an overview of the available examples.
| Example | Description | Download |
|---|---|---|
| R code | Gzipped tarball of examples | tarball |
| R code 2.1 | The package FRAPO | P1C2Ex1.R |
| R code 3.1 | Stylised Facts of the Returns for Siemens | P1C3Ex1.R |
| R code 3.2 | Stylised Facts of European Equity Market | P1C3Ex2.R |
| R code 6.1 | Fitting HPW-returns to the GHD | P2C6Ex1.R |
| R code 6.2 | VaR and ES derived from the GHD, HYP and NIG | P2C6Ex2.R |
| R code 6.3 | Shape triangle for HYP distribution | P2C6Ex3.R |
| R code 6.4 | VaR of QRM Stock: Comparison of GLD and Normal distribution | P2C6Ex4.R |
| R code 6.5 | FTSE 100 Stocks: Shape triangle of standardised GLD | P2C6Ex5.R |
| R code 7.1 | Block maxima for the losses of Siemens | P2C7Ex1.R |
| R code 7.2 | r-Block Maxima for the losses of BMW | P2C7Ex2.R |
| R code 7.3 | POT-GPD for the losses of Boeing | P2C7Ex3.R |
| R code 7.4 | De-clustering of NYSE exceedances | P2C7Ex4.R |
| R code 8.1 | Expected shortfall derived from GARCH(1,1) models | P2C8Ex1.R |
| R code 9.1 | GARCH-Copula: Expected shortfall | P2C9Ex1.R |
| R code 9.2 | Mixing of copulae: Clayton and Gumbel | P2C9Ex2.R |
| R code 10.1 | Portfolio simulation: Data generation | P3C10Ex1.R |
| R code 10.2 | Portfolio simulation: Function for estimating moments | P3C10Ex2.R |
| R code 10.3 | Portfolio simulation: Estimates for data processes | P3C10Ex3.R |
| R code 10.4 | Portfolio simulation: Minimum-variance optimisations | P3C10Ex4.R |
| R code 10.5 | Portfolio back test: Descriptive statistics of returns | P3C10Ex5.R |
| R code 10.6 | Portfolio back test: Rolling window optimisation | P3C10Ex6.R |
| R code 10.7 | Robust portfolio optimisation with elliptical uncertainty | P3C10Ex7.R |
| R code 10.8 | Mean-variance portfolio optimisation in SOCP-form | P3C10Ex8.R |
| R code 10.9 | Robust optimisation with elliptical uncertainty of μ | P3C10Ex9.R |
| R code 10.10 | Plot of efficient frontier | P3C10Ex10.R |
| R code 11.1 | Comparison of portfolio solution for Swiss equity sectors | P3C11Ex1.R |
| R code 11.2 | Key measures of portfolio solutions for Swiss equity sectors | P3C11Ex2.R |
| R code 11.3 | S&P 500: Tail-dependence versus low-β portfolio | P3C11Ex3.R |
| R code 11.4 | Plotting of wealth progression and relative performance | P3C11Ex4.R |
| R code 11.5 | Key measures of portfolio solutions for S&P 500 | P3C11Ex5.R |
| R code 11.6 | Comparison of restricted ES-portfolios with GMV and ERC | P3C11Ex6.R |
| R code 12.1 | Minimum-CVaR versus minimum-variance portfolios: Backtest | P3C12Ex1.R |
| R code 12.2 | Plotting of wealth progression | P3C12Ex2.R |
| R code 12.3 | Comparison of draw down vs. GMV portfolios | P3C12Ex3.R |
| R code 12.4 | Analysis of portfolio solutions | P3C12Ex4.R |
| R code 12.5 | Backtest: GMV versus CDaR Portfolio Optimisation | P3C12Ex5.R |
| R code 12.6 | Backtest: Evaluation of results, part one | P3C12Ex6.R |
| R code 12.7 | Backtest: Evaluation of results, part two | P3C12Ex7.R |
| R code 13.1 | Integration and co-integration analysis of equity indexes | P3C13Ex1.R |
| R code 13.2 | Generating views derived from VAR model of assets | P3C13Ex2.R |
| R code 13.3 | Maximum Sharpe ratio portfolio specifications | P3C13Ex3.R |
| R code 13.4 | Maximum Sharpe ratio portfolio back test | P3C13Ex4.R |
| R code 13.5 | Comparison of portfolio strategies | P3C13Ex5.R |
| R code 13.6 | Display of portfolio strategies | P3C13Ex6.R |
| R code 13.7 | Copula opinion pooling | P3C13Ex7.R |
| R code 13.8 | Copula opinion pooling: Densities | P3C13Ex8.R |
| R code 13.9 | Comparison of portfolio allocations | P3C13Ex9.R |
| R code 13.10 | Data preparation | P3C13Ex10.R |
| R code 13.11 | Forecasting model | P3C13Ex11.R |
| R code 13.12 | Risk model | P3C13Ex12.R |
| R code 13.13 | Formulation of the linear program | P3C13Ex13.R |
| R code 13.14 | Portfolio simulation | P3C13Ex14.R |
| R code 13.15 | Comparison of portfolio allocations | P3C13Ex15.R |