Pierre Jacquel Demandrel
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Demandrel
/ mesures_risques_smallcap.r
Last active
January 1, 2018 19:56
Mesures de risque et benchmark de stratégie small cap en R
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| #Importation et installation des librairires utiles | |
| # 0.1 Instalation et chargement des packages | |
| install.packages("tidyquant") #Permet la construction de portefeuille et la manipulation des données financiéres | |
| install.packages("PortfolioAnalytics") #Permet le calcul des rendements et mesures de risques | |
| #Puis on les charges | |
| library("tidyquant") | |
| library("PortfolioAnalytics") | |
| # REMARQUE | |
| # On assume que il existe une variable xts du nom de portfolio_returns qui contient les retours MENSUELS du portefeuille à tester |
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