[R-SIG-Finance] Copula and Portfolio

Guy Yollin gyollin at r-programming.org
Thu Jun 9 19:12:28 CEST 2011

Hi Jan,

A very good resource for learning about copulas in R is the paper "Enjoy 
the Joy of Copulas: With a Package copula" by Jun Yan.  It was published 
in the Journal of Statistical Software in 2007 and is available here:


Working through the examples in this paper will be very informative.  
Also the nice thing about the copula package is that it is able to fit 
copulas of more the 2 dimensions which allows you to solve real-world 
problems compared to other copula packages that only fit 2-dimensional 
copulas.  Another feature of this package is the capability to create a 
multivariate distribution object from the fitted copula (mvdc) and 
simulate from the multivariate distribution (rmvdc).

There are a number of tools for performing portfolio optimization with 
R.  Without being self-serving, perhaps a good overview is provided in 
this presentation for R/Finance 2009:


There are also a number of discussions on using portfolio.optim from the 
tseries package on this board which may be a good way to get started.



On 6/9/2011 7:36 AM, babel at centrum.sk wrote:
> Dear users
> Can you please advice some books that deals with Portfolio optimalization and copula models with R examples? Thank you
> Jan
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