January 30, 2012
Why confusing illusion with reality can lead to disaster, on Wall Street and in life. Note that the cover is more clever than you might at first notice. Ceci [...]
January 23, 2012
Why returns have a stable distribution As "A tale of two returns" points out, the log return of a long period of time is the sum of the log [...]
January 19, 2012
A not unusual part of a response on the R-sig-finance mailing list is: "Search the list archives." In principle that makes sense. In practice it might not be clear [...]
January 16, 2012
How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents. [...]
January 9, 2012
Equal risk contribution of assets determines the asset weights given the variance matrix. How sensitive are those weights to the variance estimate? Previously The post "Risk parity" gave an [...]
January 5, 2012
Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is [...]
January 2, 2012
A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post "Revised market [...]
December 22, 2011
The Computational and Financial Econometrics conference was just held in London. Here are three talks from the large menu. Lars Helge Hass The objective is to find a way [...]
December 21, 2011
A possible way to search for constraints that improve optimization. The perspective The usual way of thinking about portfolio optimization is to first consider the utility and then restrict [...]
December 16, 2011
Two recent posts included the word "news", but in different senses. Events "News" in the sense of reports on events was discussed in "News analytics". We can think of [...]