Portfolio Probe

Burns Statistics
Investment technology for the 21st century
Skip to content
  • Home
  • Business Opportunities
  • About
    • About Portfolio Probe
      • Software Quality Assurance
    • Applications of random portfolios
      • Assess Risk Models
      • Bid on a Portfolio
      • Evaluate Constraint Bounds
      • Performance Attribution
      • Performance Fees
      • Performance Measurement
      • Portfolio Construction Process Attribution
      • Quantitative Research
      • Test a Trading Strategy
    • Frequently Asked Questions
    • My Job is…
      • Broker
      • Chief Investment Officer
      • Fund of Funds Manager
      • Fundamental Fund Manager
      • Hedge Fund Manager
      • Investment Consultant
      • Performance Measurement and Attribution
      • Plan Sponsor
      • Quantitative Fund Manager
      • Quantitative Researcher
      • Risk Manager
    • News
    • Random Portfolios in Finance
  • Key Features
    • Computing Engine
    • Constraints
      • Asset Trade Constraints
      • Cost Constraint
      • Count Constraints
      • Distance Constraints
      • Expected Return Constraints
      • Forced Trade Constraints
      • Linear Constraints
      • Long-only Constraint
      • Maximum Weight Constraints
      • Monetary Value Constraints
      • Number of Assets Held Constraints
      • Number of Assets Traded Constraint
      • Number of Closing Positions Constraint
      • Quadratic Constraints
      • Risk Fraction Constraints
      • Sum of Largest Weights Constraints
      • Threshold Constraints
      • Tracking Error Constraints
      • Trade Universe Constraint
      • Turnover Constraint
      • Volatility Constraints
    • Generate Random Portfolios
    • Portfolio Optimization
    • Transaction Costs
    • Utility-free Optimization
  • Demo or buy
    • Academic version request form
    • Demo process details
    • Demo request form
    • Licence Agreement
    • Purchase order form
    • Thank you for your Academic version request
    • Thank You for your demo request
    • Thank you for your purchase request
    • Transaction details
  • User Area
    • Change log
    • Extra packages
    • Frequently Asked Support Questions
    • Documentation
      • Portfolio Probe Cookbook
        • 1. Data basics
          • Add benchmark to variance matrix
          • Example data
          • Prices to returns
          • Read a comma-separated file into R
          • Read a tab-separated file into R
          • Returns to variance matrix
        • 2. Generate Random Portfolios
          • Asset limits
          • Create and plot valuations
          • Give a range for turnover
          • Returns and realized volatility
          • Very simple long-only
          • Very simple long-short
          • Volatility and tracking error constraints
        • 3. Optimize Trades
          • Active with benchmark
          • Active, no benchmark
          • Asset allocation
          • Asset limits
          • Compute a technical indicator
          • Control turnover
          • Create and plot portfolio valuations
          • Dollar neutral (and general case)
          • Impose transaction costs
          • Minimum variance with tracking error constraint
          • Passive with benchmark (minimum tracking error)
          • Passive, no benchmark (minimum variance)
          • Realized portfolio returns and volatility
          • Scenario optimization
            • First four moments utility
            • Generate historical scenarios
            • Generate statistical scenarios
            • Maximize the omega ratio
            • Maximize value
            • Write your own utility function
          • Write optimization results to a file
        • 8. C++ and Portfolio Probe
        • 9. R Notes
          • Using R packages
      • User’s Manual
    • Support policy
    • Some hints for the R beginner
  • Contact
  • Blog
← Review of “Models. Behaving. Badly.” by Emanuel Derman
The US market will absolutely positively definitely go up in 2012 →

Popular posts 2012 January

Posted on 2012/02/01 by Pat

Most popular posts in 2012

As of 2012 January 31.

  1. The top 7 portfolio optimization problems
  2. A slice of S&P 500 skewness history
  3. Review of “Models. Behaving. Badly.” by Emanuel Derman
  4. Market predictions for years 2011 and 2012
  5. Physical books of ‘The R Inferno’ and ‘S Poetry’
  6. The distribution of financial returns made simple
  7. A tale of two returns (posted in 2010)
  8. Solve your R problems (posted in 2011)
  9. How to search the R-sig-finance archives
  10. The number 1 novice quant mistake (posted in 2011)

See also

  • Blog year 2011 in review
  • Blog year 2010 in review

Subscribe to the Portfolio Probe blog by Email

This entry was posted in Blog and tagged most popular posts. Bookmark the permalink.
← Review of “Models. Behaving. Badly.” by Emanuel Derman
The US market will absolutely positively definitely go up in 2012 →

Leave a Reply Cancel reply

Your email address will not be published. Required fields are marked *

  • Try 1 month Demo
  • Follow us using:

    Twitter RSS feed
  • Newsletter Sign-up

    • Enter email to subscribe to newsletter
      Uncheck these boxes if you do not want to receive these emails.
    • This field is for validation purposes and should be left unchanged.

  • Categories

    • almost wordless (4)
    • Blog (30)
    • Book review (27)
    • Computation (2)
    • Economics (13)
    • Events (26)
    • Fund management in general (72)
    • Market portrait (238)
    • Off topic (2)
    • optimization (8)
    • Performance (15)
    • Portfolio Probe (6)
    • Quant finance (130)
    • R language (172)
    • Random portfolios (28)
    • Risk (26)
    • Statistics (13)
  • Recent Posts

    • US market portrait 2016 final
    • US market portrait 2016 week 52
    • US market portrait 2016 week 51
    • US market portrait 2016 week 50
    • US market portrait 2016 week 49
  • Popular Posts

    • in 2013
    • in 2012
    • in 2011
    • in 2010
  • Archives

    • January 2017
    • December 2016
    • November 2016
    • October 2016
    • September 2016
    • August 2016
    • July 2016
    • June 2016
    • May 2016
    • April 2016
    • March 2016
    • February 2016
    • January 2016
    • December 2015
    • November 2015
    • October 2015
    • September 2015
    • August 2015
    • July 2015
    • June 2015
    • May 2015
    • April 2015
    • March 2015
    • February 2015
    • January 2015
    • December 2014
    • November 2014
    • October 2014
    • September 2014
    • August 2014
    • July 2014
    • June 2014
    • May 2014
    • April 2014
    • March 2014
    • February 2014
    • January 2014
    • December 2013
    • November 2013
    • October 2013
    • September 2013
    • August 2013
    • July 2013
    • June 2013
    • May 2013
    • April 2013
    • March 2013
    • February 2013
    • January 2013
    • December 2012
    • November 2012
    • October 2012
    • September 2012
    • August 2012
    • July 2012
    • June 2012
    • May 2012
    • April 2012
    • March 2012
    • February 2012
    • January 2012
    • December 2011
    • November 2011
    • October 2011
    • September 2011
    • August 2011
    • July 2011
    • June 2011
    • May 2011
    • April 2011
    • March 2011
    • February 2011
    • January 2011
    • December 2010
    • November 2010
    • October 2010
    • September 2010
    • August 2010
  • Blogs to try

    • Abnormal Returns
    • All About Alpha
    • Bookstaber
    • Burns Statistics
    • Butler's Math
    • CSS Analytics
    • Decision Science News
    • Dekalog Blog
    • Deus ex Macchiato
    • Emanuel Derman
    • Eran Raviv
    • Falkenblog
    • Fama/French Forum
    • FinanceProfessor
    • Flowingdata
    • Foss Trading
    • Gekko Quant
    • George Cooper
    • GestaltU
    • II Today
    • Index Universe
    • Interfluidity
    • Investment Performance Guy
    • Keplerian Finance
    • Marginal Revolution
    • Math Trading
    • Mathbabe
    • MoneyScience (financial aggregator)
    • Nerd's Eye View
    • Portfolio Management under Estimation Risk
    • Quantitative Finance Collector
    • Quantitative Trading
    • Quantivity
    • Quantocracy
    • R Bloggers
    • rbresearch
    • Robert Peston
    • Systematic Investor
    • The Aleph Blog
    • The Calculating Investor
    • The Mathematical Investor
    • The Physics of Finance
    • The Quant Guy
    • The R Trader
    • The Reformed Broker
    • Thinking in Systems
    • This is the Green Room
    • Tim Harford
    • Timely Portfolio
    • Unstarched
    • World Beta
  • Burns Statistics
    • Business Opportunities
    • Support policy
    • About
    • Contact
site by Root Interactive