Quant finance

When I announced R in Finance 2016 I talked about 2 days of conference and 50 speakers.  I missed out the 3 days of sleep deprivation. But a pleasant [...]

More efficiency and an additional function in the new version on CRAN. Variance estimation The major functionality in the package is variance estimation: Ledoit-Wolf shrinkage via var.shrink.eqcor statistical factor [...]

A data analysis surprise party. Simple question If I have correlation matrices each estimated with a month of daily returns, how much worse is the average of six of [...]

The question of skewness and kurtosis in portfolio optimization. Previously Problem 4 of "The top 7 portfolio optimization problems" concerns the use of higher moments. "Further adventures with higher [...]

An attempt to clarify the basics. Previously There have been several posts about garch.  In particular: A practical introduction to garch modeling The components garch model in the rugarch [...]

Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called "Four moments of portfolios" introduced the idea of looking at the stability of [...]

The further adventures of returns on short positions. Previously There are three posts that are instructive about returns: A tale of two returns Returns with negative net asset values [...]

On Monday I gave a talk at the London Quant Group entitled "Exploring the efficacy of higher moments in portfolio optimisation".  A substantial number of people showed up, and [...]

What I've learned from updating the blogroll. New entries The easy option is to go to The Whole Street which aggregates lots of quant finance blogs. Somehow Bookstaber missed [...]

What good are the skewness and kurtosis of portfolios? Previously The post "Cross-sectional skewness and kurtosis: stocks and portfolios" looked at skewness and kurtosis in portfolios.  The key difference [...]