Monthly Archives: April 2012

Replacing market indices

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to a single number had value. … Continue reading

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Popular posts 2012 March

Most popular posts in 2012 March Beta is not volatility The shadows and light of models A tale of two returns (posted in 2010) The top 7 portfolio optimization problems Low (and high) volatility strategy effects The quality of variance matrix estimation The BurStFin R package Realized efficient frontiers A minimum variance portfolio in 2011 … Continue reading

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