Matthew Smith R Shenanigans
Top 40 R Blogs
Quantitative Analytics: Optimal Portfolio Allocation
I cover a number of portfolio optimisation models using R from the literature, the portfolio allocation models might be extended to the Black-Litterman model etc.
Learning the Quantstrat and Blotter packages
I generate a rolling logistic backtesting function which outputs predicted probabilities, based on these probabilities I construct investment criteria and test whether positive returns can be made (lots of work still to do)