...R Tools for Portfolio Optimization Guy Yollin Quantitative Research Analyst Rotella Capital Management Bellevue, Washington Backgrounder Rotella Capital Management Quantitative Research Analyst Systematic CTA hedge fund trading 80+ global futures and foreign exchange markets Insightful Corporation Director of Financial Engineering Developers of S-PLUS®, S+FinMetrics®, and S+NuOPT® J.E. Moody, LLC Financial Engineer Futures Trading, Risk Management, Business Development OGI School of Engineering at Oregon Health & Science University Adjunct Instructor Statistical Computing & Financial Time Series Analysis Electro Scientific Industries, Inc Director of Engineering, Vision Products Division Machine Vision and Pattern Recognition Started Using R in 1999 R Tools for Portfolio Optimization 2 Introduction DJIA: 12/02/2008 - 04/15/2009 100 GM C 80 IBM annualized return (%) JPM 60 INTC HD DD GE PG BAC R-SIG-FINANCE QUESTION: stock price 90 40 MMM 20 KFT XOM PFE CVX JNJ VZ HPQ MCD KO UTX WMT T CAT MRK AXP BA Can I do < fill in the blank > portfolio optimization in R? MSFT DIS AA 0 IBM: 12/02/2008 - 04/15/2009 0 100 5 10 conditional value-at-risk (%) 15 20 95 80 85 Maximum Drawdown Jan Mar ANSWER: drawdown (%) IBM Underwater Graph 0 -5 P/L Distribution -10 -15 Yes! (98% confidence level) 0.12 0.14 Jan Mar 0.10 VaR 0.08 Density CVaR...
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...J.R.R. Tolkien My selection for this project was J.R.R. Tolkien. The reason I chose this individual was because of his books such as “The Hobbit” (J.R.R. Tolkien- 1936) this book has such realistic characteristics along with mythological characteristics. The other books I liked were “Lord of the Rings” which was broken into sequels. There orders were “The Fellowship of the Ring” and “The Two Tower” they were published in Great Britain in 1954. The third one was published in 1955 it was called “The Return of the King.” These great books kept me on my toes; I did not want to put them down. It is hard to actually find a good book to read that will keep your attention throughout and also make you feel like you are in the big picture yourself. J.R.R. Tolkien overcame many obstacles to achieve his successes a writer and also a teacher. In 1896 his father (Alfred Tolkien) died of Rheumatic fever. His mother (Mabel Tolkien) died from diabetes in November of 1904. J.R.R. Tolkien and his brothers were orphaned until they were taken in by a priest (Francis Xavier Morgan). In 1916 J.R.R. Tolkien went off to WW1 in 1916, and contracted “trench fever” in 1917. J.R.R. Tolkien was discharged from the military in 1917. After dealing with all of this he yet managed to be married, return to college, attain degrees and also pursue his writing and teaching. These were a lot of obstacles to overcome but J.R.R. Tolkien did. He has a strong will, and such a passion and desire to...
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...THE HOBBIT WEBSITE SCAVENGER HUNT: WHO WILL BE THE WINNER? Go to: http://www.tolkien-online.com/index.html Home Page: What have scholars debated about, regarding his novels? Scholars have debated true greatness of these popular novels. “Tolkien creates out of the void a complete and fully-realized world. He weaves his spell around us, suspends all disbelief, and gives us our own modern day adventure and discovery quest.” The Hobbit: Date of first publication? It was published in 1937, and it remains Tolkiens' first published book and the one of the best books of the 20th century. What sentence has become one of the most recognizable in English literature? “In a hole in the ground there lived a hobbit.” What knowledge did Tolkien draw from to write The Hobbit’s characters and plot? ancient mythology, primarily northern (Norse) mythology. Middle-Earth: Why did Tolkien first begin writing his imagined world? ________________________________________________________________________ “Tolkien’s Middle-earth is a fully-formed world with its own _______________, ______________, ________________, ‘_____________’, a _______________ story, a Fall, grief, joy, and all of those many things that our own world has.” Middle-Earth: Tolkien and Language Which languages did Tolkien have an affinity for? ______________________________ Tolkien created _______ languages for Middle-earth’s various races, and in many respects these languages...
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...The Value of Literature Literature can be used to place value on a wide span of topics. From books that may break our hearts to one’s that make us laugh uncontrollably. Even though literature is only written in words, it is our imagination that makes those words come to reality, by the way we see the words in our imaginations. Whatever literature that is read, it is in the perspective of the author and you are reading through the lens of the writer. Philip Marchand said “Not to understand the disposition of things is the fate of children or slaves. Imaginative literature is the race's best tool for acquiring such understanding. This is the childishness and slavishness in the soul of someone who cannot respond to great literature.” Marchand talks about how our imagination is one of the most important tools that an individual can have. Ultimately, with the way literature uses up the creativity side of the brain, it truly helps expand our imagination. From a very young age, many of us were introduced to books with big pictures and little words. These simple little books were meant to teach us the names of colours, the alphabet and what noise animals made. While continuing to grow older, individuals starts to explore more genres of literature to find what they enjoy. For example, in the last couple years of high school, I have really gotten into the horror/mystery genres of book which is the reason I chose The Shining as my ISU novel. The fact that I had read The Shining before...
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...Is Bilbo a leader whenever Gandalf is away? The dwarves would never have made it to the Lonely Mountain without Bilbo. Bilbo is the one who killed the spiders and freed the dwarves from their webs. He is the one who led their escape from the Elven palace. The hobbit shows creativity and confidence throughout the journey. Both of those are characteristics of a leader. Bilbo is definitely a leader when Gandalf is away. Bilbo killed the spiders and freed the dwarves from their webs. The dwarves would never have made it to the Lonely Mountain if Bilbo had lacked the courage to fight the spiders. The group would have been eaten by the spiders. Bilbo demonstrates confidence while fighting and killing the spiders. Bilbo also exhibits creativity....
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...enjoyed The Hobbit, I again dragged my feet before beginning The Lord of the Rings. For inexplicable reasons, I thought that The Hobbit may have been good, but The Lord of the Rings could not be. I read the back cover and scoffed at the name Frodo, wondering who this Bilbo imposter could be. He was clearly no match for Bilbo, who had helped Thorin's company reclaim their homeland. Hesistantly, I began The Fellowship of the Ring. It took me an equal amount of time, if not longer, to take an interest in the book. Once I did, the book sucked me in, even more than The Hobbit had. Halfway through The Two Towers, I was completely in love with The Lord of the Rings trilogy. By the time I had finished The Return of the King, my love for the works of J. R. R. Tolkien was beyond words. After reading the works of Tolkien, I found myself completely obsessed with Middle Earth. Even more, I wanted to inspire people the way his books had inspired me. With the incredible themes of hope, courage, love, and perseverance in impossible circumstances, I personally was inspired at a whole new level. It took me quite some time, but I eventually realized I wanted to become an author. Now let me be blunt; not a year prior to this realization, I hated all writing with my entire being. If I could avoid it in any manner, I would. This probably does not give justice to the amount of willpower it took to get me to actually write. My mother can attest to my hatred. Despite my revolution, I did nothing about it until...
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...according to Mark Bane’s essay, Myth Made Truth: The Origins of The Chronicles of Narnia, “he even plotted out his nation's steamship routes and railway timetables” (Bane). It was from these childhood story makings that Narnia would later come to existence. As an adolescent, C.S Lewis was sent from his native Northern Ireland to England in order to study at various boarding schools. Separated from his father and brother, Lewis delved deeper into the imaginary worlds of English, Celtic, and Norse mythology. He began reading and falling in love with the ancient lures of Northern Europe, which were first introduced to him in his early childhood. Christianity Today writer Chris Armstrong interviewed biographer Colin Duriez in an article titled J. R. R. Tolkien and C. S. Lewis: A Legendary Friendship, and according to Duriez, “Lewis had also heard Celtic myths—his nurse had told him some of the folk tales of Ireland” (Duriez). It was also during this time that C.S Lewis became estranged from the Christianity of his parents, to the point of becoming an atheist, rejecting all religion. In an essay titled Surprised by Joy by C. S. Lewis: A Critical Summary and Overview found in the website Into the Wardrobe- A C.S Lewis Website, Dr. Bruce L. Edwards writes that “Lewis would experiment with adolescent atheism, various Eastern beliefs, and the ‘Absolute’ of Aristotelian ethics on his way to the Trinitarian God proclaimed by Christianity”(Edwards). Lewis found found much truth and reasoning...
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...The Hobbit’s Choice: A Restaurant Jeff Dean is a restaurant supply sales representative. He works in a large metropolitan area and calls on many of the restaurant owners in the city. His dream is to one day own his own restaurant. He had saved a substantial amount of his earnings during his 15 years in the restaurant‐supply business and had recently gone over some financial figures with his banker. He and the banker both agreed that he had enough capital to get serious about investing in his dream. His banker, Walker Stripling, was very optimistic about Dean’s potential for success, even though he had seen many failed attempts in the restaurant business. Stripling had confidence in Dean because he thought that because of his restaurant‐supply experience, few people knew the restaurant business as well as Dean did. Dean’s idea was not try to compete with everyone else. There were too many restaurants that, except for their décor and a few menu items, offered little new to the market. He had seen many of the “metoo” restaurants falter after a short time of operation. His plan was to offer something not currently available in the market, even though the city was fairly large. Dean had traveled extensively during his career. His primary purpose in traveling had been to attend trade shows in the restaurant‐supply business. There were usually several of these a year, and Dean had been diligent about attending these shows as he learned about new products and services his...
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...C. S. Lewis, or "Jack", as he was known to friends and family, was born Clive Staples Lewis on November 29, 1898, in Belfast, Ireland. His father, Albert Lewis, was a successful lawyer. Albert and Flora Lewis brought up their two sons in a Protestant household. Warren was Lewis's older brother, and the two were very close. The family home was affectionately nicknamed "Little Lea", and was a treasure trove of books in which Lewis' imagination blossomed. The stability and happiness of Lewis's childhood, however, was shattered by his mother's death in 1908 from abdominal cancer. Lewis was nine years old at the time. The death of Lewis's mother proved incredibly influential on the development of the writer's commitment to Christianity. Just prior to her death, Flora gave each of her sons a parting gift: a Bible, inscribed with a message of her love. Lewis, however, reacted to the gift with anger and grief, and became an atheist. In 1914, at the age of 16, he moved to southern England and came under the tutelage of William T. Kirkpatrick. Kirkpatrick was a former headmaster, a rationalist, and a humanist; in Kirkpatrick, Lewis found a tutor and role model, and learned to discipline himself in writing and reason. Lewis was admitted to University College at Oxford, and in 1917 he volunteered for active combat in France. He returned to his studies in 1919. Lewis ultimately graduated with top honors in literature, philosophy, and history. He was subsequently elected to the prestigious...
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...The literary production I choose to write about for this assignment is titled the Hobbit written by J. R. R. Tolkien. John Ronald Reuel Tolkien was born January 3, 1892, in Bloemfontein, South Africa (Tolkienlibrary.com, 2002. para 2). He moved to back to England with his mother and brother when he was three. His family lived in poverty in Moseley, England. At the age of twelve, he and his brother were made wards of a Catholic priest after his mother died. In 1910 and 1911 young Tolkien went to school at King Edward’s School in Birmingham. He studied and did well in classical and modern language classes. After 1911, he attended Exeter College, Oxford, where he studied Classics, Old English, German, Welsh, and Finnish languages. He seemed to excel in philology where he started creating his own languages which would eventually end up in his fantasy novels (Tolkienlibrary.com, 2002. para 3). Sir Tolkien, a professor of Anglo-Saxon at Oxford University, would later on, ultimately create the fantasy world of Middle Earth. One of the characters he would create was named Bilbo Baggins, the main star of the Hobbit. This is a tale of a half -sized human like character, known as a hobbit, and his uncanny adventure with Thorin the dwarf lord and 12 militant dwarves along with and a wizard named Gandalf the gray. Their quest is to retrieve the dwarves treasure stolen by the dragon Smaug. Bilbo Baggins is to act as a burglar throughout their great adventure. As they...
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...Robin Hobb’s Assassin’s Apprentice and The Hobbit by J. R. R. Tolkien clearly conform to the conventions of the fantasy genre in a number of ways. The main elements of fantasy are discussed in relation to the two texts, with examples provided. This essay will discuss several of the core characteristics of fantasy literature, including the concepts of magic, otherworlds, good vs. evil, heroism, special character types and talking animals. These characteristics of literature are all identified in the two texts, Assassin’s Apprentice by Hobb and The Hobbit by J. R. R. Tolkien. Fantasy, as a genre of literature, is a story or series of stories, which exhibits certain definable elements that make the plot unreal and challenge the reader to suspend disbelief. There are many of these unreal elements, which feature in the fantasy genre. These unreal elements vary from mythical beasts roaming an imagined world to Earth-like natural settings in which animals take on human characteristics. There are also clearly recognizable conventions of fantasy, such as toys coming to life, miniature humans, magical powers, and time-warp stories. A fantasy novel would usually encompass more than one of these unreal elements. However, a fantasy story needs to possess only one of these unreal features in order to be classified as a part of the fantasy genre. Put simply, a fantasy story is one with at least one element that cannot be found in the human world. Magic is the most basic element of fantasy;...
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...The songs help contribute by putting a detailed picture in the reader's mind. They can tell us a lot about the creatures. First, The song sung by the dwarfs has good imagery. This Imagery helps us image what they would look and sound like. For example, when the dwarfs sung the line “Far over the misty mountains grim To the dungeons deep and caverns dim. We must away, ere break of day, To win our harps and gold from him!” This shows us that the dwarves are somewhat determined and brave. I feel the author does this to help put in our heads the dwarfs personality, and their goal/objective of this adventure. Secondly,The song that the elves sung helps put in our head what they sound like, and also what their personalities are like. For example,...
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...Biography J.R.R. Tolkien was born on January 3rd, 1892, in Bloemfontein, which would be classified as South Africa in today’s world. “John Ronald Reuel Tolkien was the eldest of the two sons of Arnold Reuel Tolkien, an Englishman who was a banking manager in the Bank of Africa, and Mabel Suffield“ (Carpenter 11-13). When Tolkien was merely three years old his mother took him and his younger brother on a trip to visit relatives in England. His father had planned to join them later; however, “he contracted a rheumatic fever from which he partially recovered, until he suffered a severe hemorrhage that cost him his life” (Carpenter 16). After her husband’s passing, Mabel realized that she could not go back to Bloemfontein because she did not have a source of income. Carpenter explains that she made the decision to stay in Birmingham and tutor both her boys until they were old enough to take an Entrance examination for King Edward’s School (17). Unfortunately, Mabel’s plan did not go as well as she had hoped; when Tolkien was 12 years old his mother passed away after fighting through Type 1 Diabetes. (Carpenter 30). Tolkien’s mother was very religious and gave the guardianship of her two boys to Father Francis of the catholic Birmingham Oratory. (Carpenter 31-32). Carpenter says that the passing of Tolkien’s mother changed him drastically, “Or rather, it made him into two people. He was by nature a cheerful almost irrepressible person with a great zest for life. He loved good talks...
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...Elden Lashley Jill Decker English 101 61213 Lashley1 J.R.R Tolkien J.R.R Tolkien is the writer and creator of The Hobbit and the Lord of the Rings books. Which are four of my favorite books of all time, especially the Lord of the Rings. His creativity and ability to immerse you in a world is unlike any other I've seen or experienced. "If you really want to know what Middleearth is based on, it's my wonder and delight in the earth as it is, particularly the natural earth." – J.R.R. Tolkien. I love his books and now I'm here to tell you a little about his life. J.R.R Tolkien or John Ronald Reuel Tolkien was born in Bloemfontein South Africa on January 3rd, 1892. To his father and mother Arthur Tolkien and Mabel Tolkien. After his father died when he was just 4 years old, his mother took him and his little brother Hilary to hamlet of Sarehole, in Birmingham, England. His mother then died in 1904 and he and his brother were sent to live with relatives and then in boarding homes. with a catholic priest gaining guardianship in Birmingham. He would go on to get his first class degree at Exeter College, specializing in AngloSaxon and Germanic languages and classic literature. He enlisted as a lieutenant Lancashire Fusiliers and served in World War I, making sure he kept writing though. He fought in the battle of somme in which there were many deaths,“I will not say, do not weep, for not all tears are an evil.” ―J.R.R. Tolkien. he eventually was released from duty due to illness...
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...When I started writing this paper I was going to just talk about books and reading Then I got sidetracked so this paper is more about books vs. the computer and books and the computer combined as learning tools. Reading is very important to enrich a person's life. If you can read you can learn anything. You can go anywhere, be anyone, do anything. Books can open a world to the past, the present and the future. They can also take you to fantasy lands that never existed in the real world. Through books you can experience what it is like to be an explorer, you can go to the moon and outer space, you can live with cavemen, you can experience what it was like to be a pirate in the 1600s. You can give yourself an entire college education with the books that can be found in any public library. For an example John Aristotle Phillips was born in 1955 in Connecticut. In 1976, while attending Princeton University as a junior undergraduate, he designed a nuclear weapon using publicly available books and papers. Books are very cheap entertainment. Used books can be purchased for a dollar or less. Many famous people learned things from books rather than in a structured educational environment. Today you can use the internet to enhance your reading experience. I have read several books that led me to the internet because I wanted to know more about some of the things or people mentioned in the books. Other times I have written down words I didn't know the meaning of and looked them up...
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