Portfolio Theory
Dr. Andrea Rigamonti
andrea.rigamonti@econ.muni.cz
Seminar 1
Content:
• R in a nutshell
• Obtaining financial data
R in a nutshell
• R is a programming language mostly used for statistical computing and graphics.
• Freely available at: https://www.r-project.org/
• Huge (and ever increasing) amount of packages.
• Active online community (e.g. on stackoverflow: https://stackoverflow.com/)
• Not very user friendly at the beginning.
• There are many guides available online. This is one: https://cran.r-project.org/doc/manuals/r-release/R-intro.pdf (but look for the one that suits you best)
R in a nutshell
• You should also install RStudio, a very useful IDE (also free) that makes working with R much more comfortable: https://www.rstudio.com/
• A collection of packages under the name tidyverse is now commonly used for data science and finance: www.tidyverse.org
• R Markdown allows you to interactively create documents directly from RStudio. You can check this book: https://bookdown.org/yihui/rmarkdown/
Obtaining financial data
Unadjusted stock prices are easily available online, but they should not be used: we need data adjusted for dividends and stock splits.
• There are many professional data providers, but most are very expensive. E.g. Datastream or Bloomberg
• Data from there usually also require to be cleaned (for missing and/or wrong data)
• Yahoo finance provides free data, but maybe not the most reliable source
Obtaining financial data
A good alternative is Alpha Vantage: https://www.alphavantage.co/
• Many data are free. Other require a cheap subscription.
• Not a huge variety of data, but no need for cleaning
• Very easy to download data directly in R thanks to the "alphavantager" R package
Fama-French factors are available at the French data library: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ data_library.html
Factors for Germany from HU Berlin (might not be as reliable as US factor data): https://www.wiwi.hu-berlin.de/de/professuren/bwl/bb/daten/data-library
Obtaining financial data
Other free sources a various financial data:
• https://www.openassetpricing.com/
• https://www.msci.com/
• https://fred.stlouisfed.org/