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.
The text is freely available here:
Chapter on the Pairs Trade: https://mattbrigida.shinyapps.io/chapter7_pairs_trade/pairs_trade.Rmd
Pull requests are definitely welcome.
- 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.