Changelog

You can find every single change in our commit history. We collect the most important changes for Tidy Finance with R in the list below.

• Sep 23, 2023, Commit f88f6c9: We switched from alabama and quadprog to nloptr in Constrained Optimization and Backtesting to be more consistent with the optimization in Python and to provide more flexibility with respect to constraints.
• June 15, 2023, Commit 47dbb30: We moved the first usage of broom:tidy() from Fama-Macbeth Regressions to Univariate Portfolio Sorts to clean up the CAPM estimation.
• June 12, 2023, Commit e008622: We fixed some inconsencies in notation of portfolio weights. Now, we refer to portfolio weights with \(\omega\) throughout the complete book.
• June 12, 2023, Commit 186ec7b2: We fixed a typo in the discussion of the elastic net in Chapter Factor Selection via Machine Learning.
• May 23, 2023, Commit d5e355c: We update the workflow to collect() tables from tidy_finance.sqlite: To make variable selection more obvious, we now explicitly select() columns before collecting. As part of the pull request Commit 91d3077, we now select excess returns instead of net returns in the Chapter Fama-MacBeth Regressions.
• May 20, 2023, Commit be0f0b4: We include NA-observations in the Mergent filters in Chapter TRACE and FISD.
• May 17, 2023, Commit 2209bb1: We changed the assign_portfolio()-functions in Chapters Univariate Portfolio Sorts, Size Sorts and p-Hacking, Value and Bivariate Sorts, and Replicating Fama and French Factors. Additionally, we added a small explanation to potential issues with the function for clustered sorting variables in Chapter Univariate Portfolio Sorts.
• May 12, 2023, Commit 54b76d7: We removed magic numbers in Chapter Introduction to Tidy Finance and introduced the scales packages already in the introduction chapter to reduce scaling issues in figures.
• Mar. 30, 2023, Issue 29: We upgraded to tidyverse 2.0.0 and R 4.2.3 and removed all explicit loads of lubridate.
• Feb. 15, 2023, Commit bfda6af: We corrected an error in the calculation of the annualized average return volatility in the Chapter Introduction to Tidy Finance.
• Mar. 06, 2023, Commit 857f0f5: We corrected an error in the label of Figure 6, which wrongly claimed to show the efficient tangency portfolio.
• Mar. 09, 2023, Commit fae4ac3: We corrected a typo in the definition of the power utility function in Chapter Portfolio Performance. The utility function implemented in the code is now consistent with the text.