finlabR: Portfolio Analytics and Simulation

library(finlabR)
#> Registered S3 method overwritten by 'quantmod':
#>   method            from
#>   as.zoo.data.frame zoo

Example dataset

prices <- get_example_prices()
rets <- calc_returns(prices[, -1])

Mean-variance optimization

min_var <- mvo_min_variance(rets)
ef <- mvo_efficient_frontier(rets, n = 30, rf = 0.02)
max_sharpe <- mvo_max_sharpe(rets, rf = 0.02)

plot_efficient_frontier(ef)
#> Warning: Using `size` aesthetic for lines was deprecated in ggplot2 3.4.0.
#> ℹ Please use `linewidth` instead.
#> ℹ The deprecated feature was likely used in the finlabR package.
#>   Please report the issue to the authors.
#> This warning is displayed once per session.
#> Call `lifecycle::last_lifecycle_warnings()` to see where this warning was
#> generated.

CVaR minimization

cvar <- cvar_minimize(rets, alpha = 0.95)
cvar$cvar
#> [1] 0.005853819

Risk parity

rp <- risk_parity_weights(stats::cov(rets))
rp$weights
#>       EQ1       EQ2       EQ3      CMD1   CRYPTO1     BOND1 
#> 0.1666667 0.1666667 0.1666667 0.1666667 0.1666667 0.1666667

Regime clustering

regimes <- market_regime_kmeans(rets, k = 3, window = 60)
table(regimes$labels)
#> 
#>   1   2   3 
#> 413 276 251

Asset clustering (PCA + k-means)

clusters <- asset_clustering(rets, method = "kmeans", reduce = "pca", k = 3)
clusters$clusters
#>     EQ1     EQ2     EQ3    CMD1 CRYPTO1   BOND1 
#>       3       3       1       3       2       3

VaR / CVaR

var_cvar(rets, alpha = 0.95)
#>     asset         VaR        CVaR
#> 1     EQ1 0.018348805 0.023653700
#> 2     EQ2 0.015278103 0.019074063
#> 3     EQ3 0.024202496 0.029746296
#> 4    CMD1 0.025586040 0.032379499
#> 5 CRYPTO1 0.086507269 0.107429605
#> 6   BOND1 0.005233202 0.006338586

Monte Carlo price simulation

paths <- simulate_gbm_paths(100, 0.08, 0.2, time_horizon = 1, n_steps = 252, n_sims = 1000)
dim(paths)
#> [1]  253 1000

Option pricing

price_option_mc(100, 100, 0.02, 0.2, time_to_maturity = 1, n_sims = 20000)
#> $price
#> [1] 8.774883
#> 
#> $std_error
#> [1] 0.09681501
price_option_binomial(100, 100, 0.02, 0.2, time_to_maturity = 1, n_steps = 200, american = TRUE)
#> [1] 8.906137