February 25, 2013
Exploring the quality of predictions using random portfolios and optimization. Previously "Simple tests of predicted returns" showed a few ways to look at expected returns at the asset level. [...]
February 18, 2013
Some ways to explore how good a method of predicting returns is. Data and model The universe is 443 large cap US stocks that have data back to the [...]
February 12, 2013
Featured R for Finance Workshop 2013 March 5-6 in London. The target audience are professionals and academics, who wish to learn the basics of the statistical software R and [...]
February 11, 2013
A prediction of a portfolio's volatility is an estimate -- how variable is that estimate? Data The universe is 453 large cap US stocks. The variance matrices are estimated [...]
February 4, 2013
More risk does not necessarily mean bigger Value at Risk. Previously "The incoherence of risk coherence" suggested that the failure of Value at Risk (VaR) to be coherent is [...]
January 28, 2013
How to fit and use the components model. Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series Variance [...]
January 21, 2013
An exploration of the usefulness of sectors. Previously This subject was discussed in "S&P 500 sector strengths". Idea Stocks are put into groups based on the sector that the [...]
January 7, 2013
Calibrations of 2013 predictions for 18 equity indices -- plus some publicly available predictions. Orientation The distributions are an attempt to see the variability if there were no market-driving [...]
December 24, 2012
An explanation of quartiles, quintiles deciles, and boxplots. Previously "Again with variability of long-short decile tests" and its predecessor discusses using deciles but doesn't say what they are. The [...]
December 17, 2012
Historical Value at Risk (VaR) is very popular because it is easy and intuitive: use the empirical distribution of some specific number of past returns for the portfolio. Previously [...]