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Analyzing Financial Data and Implementing Financial Models Using R


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Table of Contents

Chapter 1 Prices.- Chapter 2 Individual Security Returns.- Chapter 3 Portfolio Returns.- Chapter 4 Risk.- Chapter 5 Factor Models.- Chapter 6 Risk-Adjusted Portfolio Performance Measures.- Chapter 7 Markowitz Mean-Variance Optimization.- Chapter 8 Fixed Income.- Chapter 9 Options.- Appendix A Getting Started with R. Appendix B Constructing a Hypothetical Portfolio.

About the Author

Clifford S. Ang, CFA is a Vice President at Compass Lexecon in Chicago. He specializes in valuation, corporate finance, and damages, and has worked on hundreds of engagements involving companies across a broad spectrum of industries. Ang has held teaching appointments at DePaul University, the University of the Philippines, and Ateneo de Manila University, where he has taught courses in investments, investment management, corporate finance, and international finance. He is a CFA Charterholder and holds an MS in Finance from the University of the Philippines. Ang also holds a BSBA majoring in finance and accounting from Washington University in St. Louis, where he subsequently completed doctoral coursework in finance, economics, and econometrics. He also presented at the 2012 R in Finance Conference a method to estimate the market value of illiquid debt.


"This book is aimed at students in finance and economics who are beginners to the R statistical programming language. ... We recommend the book for its intended audience, plus perhaps personal investors who want to experiment in R with portfolio optimization and simulation studies of likely ranges of securities." (Lauren Burr and Tom Burr, Technometrics, Vol. 58 (2), April, 2016)

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