| SPY,EFA,LQD,EEM 0.14473728,0.06458429,0.05929884,0.07109433 |
| ,SPY,EFA,LQD,HYG SPY,0.02141010,0.02351144,-0.00049749,0.00915216 EFA,0.02351144,0.03227444,-0.00011169,0.01105802 LQD,-0.00049749,-0.00011169,0.00323208,0.00146939 HYG,0.00915216,0.01105802,0.00146939,0.00689213 |
Original sample codes in [11a] or [11b] are on the left hand side. For this section, please try the sample codes of read.csv on the right hand side, and then run sample codes in [11a] and/or [11b].
| r.free <- 0.00973449 er <- c( "SPY" = 0.14473728, "EFA" = 0.06458429, "LQD" = 0.05929884, "EEM" = 0.07109433 ) covmat <- matrix(c(0.02141010, 0.02351144, -0.00049749, 0.00915216, 0.02351144, 0.03227444, -0.00011169, 0.01105802, -0.00049749, -0.00011169, 0.00323208, 0.00146939, 0.00915216, 0.01105802, 0.00146939, 0.00689213), nrow = 4, ncol = 4, byrow = TRUE) rownames(covmat) <- c("SPY", "EFA", "LQD", "HYG") colnames(covmat) <- c("SPY", "EFA", "LQD", "HYG") |
r.free <- 0.00973449 |
| er SPY EFA LQD EEM 0.14473728 0.06458429 0.05929884 0.07109433 class(er) [1] "numeric" names(er) [1] "SPY" "EFA" "LQD" "EEM" rownames(er) NULL colnames(er) NULL dim(er) NULL |
erdf <- read.csv("H:/Quantitative Research/R/Optimization/er.csv", sep=",") erdf SPY EFA LQD EEM 1 0.1447373 0.06458429 0.05929884 0.07109433 class(erdf) [1] "data.frame" names(erdf) [1] "SPY" "EFA" "LQD" "EEM" rownames(erdf) [1] "1" colnames(erdf) [1] "SPY" "EFA" "LQD" "EEM" dim(erdf) [1] 1 4 ermt <- as.matrix(erdf) ermt SPY EFA LQD EEM [1,] 0.1447373 0.06458429 0.05929884 0.07109433 class(ermt) [1] "matrix" names(ermt) NULL rownames(ermt) NULL colnames(ermt) [1] "SPY" "EFA" "LQD" "EEM" dim(ermt) [1] 1 4 names(ermt) <- colnames(ermt) names(ermt) [1] "SPY" "EFA" "LQD" "EEM"
er <- ermt
er SPY EFA LQD EEM [1,] 0.1447373 0.06458429 0.05929884 0.07109433 attr(,"names") [1] "SPY" "EFA" "LQD" "EEM" class(er) [1] "matrix" names(er) [1] "SPY" "EFA" "LQD" "EEM" rownames(er) NULL colnames(er) [1] "SPY" "EFA" "LQD" "EEM" dim(er) [1] 1 4 |
| covmat SPY EFA LQD HYG SPY 0.02141010 0.02351144 -0.00049749 0.00915216 EFA 0.02351144 0.03227444 -0.00011169 0.01105802 LQD -0.00049749 -0.00011169 0.00323208 0.00146939 HYG 0.00915216 0.01105802 0.00146939 0.00689213 names(covmat) NULL rownames(covmat) [1] "SPY" "EFA" "LQD" "HYG" colnames(covmat) [1] "SPY" "EFA" "LQD" "HYG" class(covmat) [1] "matrix" dim(covmat) [1] 4 4 |
covmatdf <- read.csv("H:/Quantitative Research/R/Optimization/covmat.csv", sep=",", row.names=1) covmatdf SPY EFA LQD HYG SPY 0.02141010 0.02351144 -0.00049749 0.00915216 EFA 0.02351144 0.03227444 -0.00011169 0.01105802 LQD -0.00049749 -0.00011169 0.00323208 0.00146939 HYG 0.00915216 0.01105802 0.00146939 0.00689213 names(covmatdf) [1] "SPY" "EFA" "LQD" "HYG" class(covmatdf) [1] "data.frame" dim(covmatdf) [1] 4 4 covmatmt <- as.matrix(covmatdf) covmatmt SPY EFA LQD HYG SPY 0.02141010 0.02351144 -0.00049749 0.00915216 EFA 0.02351144 0.03227444 -0.00011169 0.01105802 LQD -0.00049749 -0.00011169 0.00323208 0.00146939 HYG 0.00915216 0.01105802 0.00146939 0.00689213 names(covmatmt) NULL rownames(covmatmt) [1] "SPY" "EFA" "LQD" "HYG" colnames(covmatmt) [1] "SPY" "EFA" "LQD" "HYG" class(covmatmt) [1] "data.frame" dim(covmatmt) [1] 4 4
covmat <- covmatmt
covmat SPY EFA LQD HYG SPY 0.02141010 0.02351144 -0.00049749 0.00915216 EFA 0.02351144 0.03227444 -0.00011169 0.01105802 LQD -0.00049749 -0.00011169 0.00323208 0.00146939 HYG 0.00915216 0.01105802 0.00146939 0.00689213 class(covmat) [1] "matrix" names(covmat) [1] "SPY" "EFA" "LQD" "EEM" rownames(covmat) [1] "SPY" "EFA" "LQD" "HYG" colnames(covmat) [1] "SPY" "EFA" "LQD" "EEM" dim(covmat) [1] 1 4 |
Try [11a] and/or [11b] after running the sample codes of read.csv on the right hand side.
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