An exploration of how to use chatGPT to write R code to solve problems in Finance.

This is the vignette for the AssetAllocation R package. It explains how the package works and provides some examples with both pre-loaded strategies, as well as strategies created directly by the user.

In this Markdown, I test 16 simple ``buy-and-hold’’ asset allocation strategies using ETF data.

We investigate drawdowns in cryptocurrencies and compare the recent drawdowns with historical ones.

In this short article, I replicate the original Gatev, Goetzmann and Rouwenhorst (2006) pairs trading strategy, using CRSP data from January 1962 to December 2020. The profitability of this simple pairs trading strategy in the U.S. has essentially disappeared.

This short article illustrates the Fama-MacBeth regression by replicating a few results from Green, Hand, and Zhang's (2017) paper, “The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns.” The Review of Financial Studies 30 (12): 4389–4436.

Illustration of resampling of the efficient frontier for a set of ETFs.