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Monthly Archives: July 2012
The email system still wasn’t quite right last time. It should be better now. If so, then the email gang will see this post and will be given the opportunity to read some things they missed.
The new system of sending blog posts via email should go live today. Actually it should have gone live yesterday, but I’m a dunderhead. That it didn’t go live yesterday means that members of the email gang may have missed: “Random portfolios versus Monte Carlo”. If you want to receive the blog via email: a … Continue reading
What is the difference between Monte Carlo — as it is usually defined in finance — and random portfolios? The meaning of “Monte Carlo” The idea of “Monte Carlo” is very simple. It is a fancy word for “simulation”. As usual, it is all too possible to find incredibly muddied explanations of such a simple … Continue reading
Most popular posts in 2012 June Variability in maximum drawdown Inferno-ish R A tale of two returns (posted in 2010) Two new, important books on R The top 7 portfolio optimization problems The number 1 novice quant mistake (posted in 2011) Smoothing the market for alpha High frequency trading and the volume clock Backtesting — … Continue reading
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R