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Bookmark or Share- Black-Litterman computation in R - where am I going wrong?intc aep amzn mrk xom ^gspc intc 0.0119535151 0.0005721887 0.0072352418 0.0016447926 0.0005925077 0.0024795274 aep 0.0005721887 0.0042225253 0.0008231236 0.0011854049 0.0010758889 0.0011941026 amzn 0.0072352418 0.0008231236 0.0191091776 0.0009086193 -0.0002442391 0.0017836173 mrk 0.0016447926 0.0011854049 0.0009086193 0.0063486415 0.0009187387 ...
- programming - Quantitative Finance Stack ExchangeThe solution here is very simple. At any point in time, you will be able to retrieve from the internet stock market data at a daily frequency for free, as long as (1) you do not mind a possible delay of a few hours and (2) having only the past few years of data.
- Difference between S&P 500 index and S&P 500 Total Return index?Basically the Total Return Index assumes reinvestments compared to "regular" indices. "A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements.1 While it is common to refer to equity based indices, there are also total return indices for bonds and ...
- mean - Sharpe Ratio, annualized monthly returns vs annual returns vs ...Here is an example calculation according to the formula by William F. Sharpe, 1994.. The OP's method of annualising the variance (as used below), is also specified by the Committee of European Securities Regulators in this document, page 5, box 1.
- What is the difference between ^GSPC and ^SPX in yahoo finance?My understanding is that ^GSPC is Yahoo Finance's 'proprietary' ticker for the S&P 500 index. I have no idea why Yahoo Finance chose not to or was forbidden from using the common SPX ticker. It's worth noting that I have had reason to source the free daily, monthly or weekly ^GSPC data from Yahoo Finance a number of times over the years.
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