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R 中级投资组合分析

Ross Bennett

Instructor

学习目标

在"R 投资组合分析入门"的基础上进阶
探索投资组合优化流程中的高级概念
使用 R 包 PortfolioAnalytics 解决贴近真实情境的投资组合优化问题

现代投资组合理论

现代投资组合理论（MPT）由 Harry Markowitz 于 1952 年提出。
MPT 指出：在给定风险下，投资者应最大化投资组合的期望回报。
常见目标：
- 最大化单位风险的收益
- 最小化风险度量

均值-标准差示例：设置

library(PortfolioAnalytics)
data(edhec)
data <- edhec[,1:8]

# Create the portfolio specification
port_spec <- portfolio.spec(colnames(data))
port_spec <- add.constraint(portfolio = port_spec, type = "full_investment")
port_spec <- add.constraint(portfolio = port_spec, type = "long_only")
port_spec <- add.objective(portfolio = port_spec, type = "return", name = "mean")
port_spec <- add.objective(portfolio = port_spec, type = "risk", name = "StdDev")

**************************************************
PortfolioAnalytics Portfolio Specification 
**************************************************
Call:
portfolio.spec(assets = colnames(data))

Number of assets: 8 
Asset Names
[1] "Convertible Arbitrage"  "CTA Global"             "Distressed Securities" 
[4] "Emerging Markets"       "Equity Market Neutral"  "Event Driven"          
[7] "Fixed Income Arbitrage" "Global Macro"          

Constraints
Enabled constraint types
        - full_investment 
        - long_only 

Objectives:
Enabled objective names
        - mean 
        - StdDev

均值-标准差示例：优化

# Run optimization and chart results in risk-reward space
opt <- optimize.portfolio(data, 
                   portfolio = port_spec,
                   optimize_method = "random",
                   trace = TRUE)

chart.RiskReward(opt,
                 risk.col = "StdDev",
                 return.col = "mean",
                 chart.assets = TRUE)

均值-标准差示例：优化

ch1_vid1_slides.033.png

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R 中级投资组合分析