Wiley Examples (1st ed)

Examples for the first edition

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