I am trying to use the maxreturnPortfolio to maximise the return of a
multiasset portfolio for a given level of risk. Somehow I do not seem to be
able to produce any result with it. As anyone used this before and could
give me a sample code on how to use it. basically I have a matrix of etf and
Hello everyone,
I am an applied statistics post-graduate student and am doing my
dissertation on kalman filters and its application on financial models. I
have read quite a lot papers on kalman filters and I am able to understand
their methodology. But I am unable to work my way through to build
I suggest you to read the paper by Fernando Tusell from University of
Basque Country,
Kalman Filtering in R, JSS Vol. 39, Issue 2, Mar 2011
On 16 June 2014 11:21, Manuj Goel mg...@st-andrews.ac.uk wrote:
Hello everyone,
I am an applied statistics post-graduate student and am doing my
On Mon, Jun 16, 2014 at 2:21 AM, Manuj Goel mg...@st-andrews.ac.uk wrote:
Hello everyone,
I am an applied statistics post-graduate student and am doing my
dissertation on kalman filters and its application on financial models. I
have read quite a lot papers on kalman filters and I am able to
You likely want to start with this paper:
Fernando Tusell, 211, Kalman Filtering in R:
http://www.jstatsoft.org/v39/i02
http://stat-www.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf
http://www.et.bs.ehu.es/~etptupaf/nuevo/en/papiros.php
It says there are at least five different implementations
