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albertosantini / conpa

Asset Allocation application
MIT License
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Asset model differentiation #2

Closed 1blockologist closed 5 years ago

1blockologist commented 5 years ago

Is this asset list stored in a particular model

and does it currently know if something is the same asset, such as shares of Google traded on multiple exchanges worldwide

Also can it pull in options chains and individual contracts?

albertosantini commented 5 years ago

Thanks for the question.

Data provider is Yahoo! Finance via the package finance [1]. If you want to use a different provider, for instance Google, I think we need to add it to finance package.

finance package provides also options chains. See optionchain.getOptionChainFromYahoo(params, callback).

The optimization of the assets is based on Markowitz model, calculated via the package quadprog [2].

Basically node-conpa is the web interface for the R function portfolio.optim, contained in R package tseries [3], based on R package quadprog [4].

The main aim of node-conpa is reproducing the same numerical R results using pure javascript.

Indeed in finance package you can give a look at R script portfolio.R. It is the script I use to check the results.

Hope these details help.

[1] https://github.com/albertosantini/node-finance [2] https://github.com/albertosantini/node-quadprog [3] https://cran.r-project.org/web/packages/tseries/index.html [4] https://cran.r-project.org/web/packages/quadprog/index.html