Portfolio Theory

This is a course text for an undergraduate level course in Portfolio Theory. Eventually, it will cover from a general introduction to risk, through Markowitz, to the CAPM/APT, and end with some modern stat arb strategies. It is written in RMarkdown and contains interactive content, through embedded Shiny apps. See this link http://rmarkdown.rstudio.com/authoring_shiny.html for a description of Shiny/RMarkdown.

shinyapps.io

The text is freely available here:

Chapter 1: https://mattbrigida.shinyapps.io/PT_chapter1/

Chapter 2: https://mattbrigida.shinyapps.io/PT_chapter2/

Chapter 3: https://mattbrigida.shinyapps.io/PT_chapter3/

Chapter on the Pairs Trade: https://mattbrigida.shinyapps.io/chapter7_pairs_trade/pairs_trade.Rmd

Collaboration

Pull requests are definitely welcome.

Whishlist of additions:

• Chapter 3: plot mean-variance efficient frontier and optimal portfolio for a given set of stocks/inputs.
• [DONE] Pairs Trade Chapter: I am going to add the strategy from Gatev et al (2006).
• Adding other stat arb strategies would be helpful.