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 12, 2012
Hardcopy versions of both The R Inferno and S Poetry are now available for sale. Physical economy Buy The R Inferno (the version dated 2011 April 30) Buy [...]
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 28, 2011
Most popular posts Two of the ten most popular posts during the year were completely about R: The R Inferno revised (number 6) Solve your R problems (number 9) [...]
December 15, 2011
Do non-trading days explain the mystery of volatility estimation? Previously The post "The volatility mystery continues" showed that volatility estimated with daily data tends to be larger (in recent [...]
December 10, 2011
The biggest and perhaps best meeting yet. The talks James Long: "Easy Parallel Stochastic Simulations using Amazon's EC2 & Segue". This was a lively talk about James' package to [...]
December 5, 2011
How do volatility estimates based on monthly versus daily returns differ? Previously The post "The mystery of volatility estimates from daily versus monthly returns" and its offspring "Another look [...]