How can we spot bubbles before they burst? Executive Summary I had high hopes for this book. The first 5 chapters lived up to my expectations. The remaining chapters, though interesting in spots, are a bit vapid. However, those first 5 chapters are worth the price of admission. Chapters The book starts with a discussion … Continue reading
Portfolio Probing
Review of “Boombustology” by Vikram Mansharamani
Posted in Blog, Book review, Fund management in general
Tagged financial bubble, Minsky Instability Hypothesis
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Selections from the R/Finance conference
The R/Finance conference happened in Chicago at the end of April. If, like me, you weren’t there, you can still benefit from it because slides from many of the talks are now online. Here is a quick synopsis (in chronological order) of some of the talks I found most interesting. Michael Kane Michael Kane and … Continue reading
Attilio Meucci starts praying
Attilio Meucci has written “The Prayer” which gives a ten-step process of quantitative analysis of the profit and loss stream. The paper is nicely laid out. Each step includes at least one “key concept” box. These give a clear, concise statement of a main idea. These allow you to quickly get the thrust without needing … Continue reading
A data search engine
Zanran is a new search engine that helps you find data. It indexes items that have tables or figures that seem to display data. It looks to be significantly more useful than a general search engine when it’s data you want. Search results are displayed in the manner you are used to. Except on the … Continue reading
Posted in Fund management in general
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Specific differences between Ledoit-Wolf and factor models
What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction constraints from a statistical factor model. … Continue reading
Posted in Quant finance, R language
Tagged correlations, covariance matrix, Ledoit-Wolf shrinkage, risk fraction, variance matrix
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Recap of London Quant Group Spring Seminar
The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks — I give a brief (and biased) summary of each. Dan di Bartolomeo Dan talked about the information ratios that active managers have. He claims that the information ratio is upwardly biased compared to what we … Continue reading
Posted in Quant finance
Tagged information ratio, low volatility investing, Value at Risk
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What is a good benchmark?
One suggestion is that benchmarks should be: transparent & unambiguous frame-able & customize-able appropriate with full coverage investable The source of this suggestion is Setting the Benchmark: Spotlight on Private Equity. This was discussed by All About Alpha. The paper considers indices and peer groups as benchmarks. They did not consider random portfolios. Let’s look … Continue reading
Risk and Mayan hieroglyphics
How does modern risk management relate to Mayan hieroglyphics? If you want to guess, here are some hints: fire language Connecticut The Mayan civilization prospered in Central America at roughly the same time as the Roman Empire. They had architecture, mathematics, and — as exemplified above — writing. Risk management is the art of taking … Continue reading
Again with Ledoit-Wolf and factor models
We come closer to a definitive answer on the relative merit of Ledoit-Wolf shrinkage versus a statistical factor model for variance matrices. Previously This post builds on the post entitled: A test of Ledoit-Wolf versus a factor model That post depended on some posts previous to it. New information Previously we generated random portfolios with … Continue reading
Posted in Quant finance, R language
Tagged covariance matrix, factor model, Ledoit-Wolf shrinkage, risk fraction, S&P 500, variance matrix
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The R Inferno revised
Hell is new and improved. The R Inferno has been revised. If you don’t know of it, it is a short explanation of a few trouble spots when using the R language. Somehow the short explanation grew to approach book-length. It can be found at the usual place: http://www.burns-stat.com/pages/Tutor/R_inferno.pdf Major improvements An index has been … Continue reading
Posted in R language
Tagged R abnormalities, R absurdities, R anomalies, R oddities, R peculiarities, R quirks, R trouble spots, The R Inferno
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