R language

Previously This book and the associated R package were introduced before. Executive Summary A very nice -- and enlightening -- discussion of a wide range of topics. Principles The [...]

The paper is "Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds" by Roberto Stein.  Here is an explanation of the idea of random portfolios. Favorite sentence [...]

Featured Thalesians, London 2012 September 12. Chia Tan on "Practical Financial Modeling". Abstract: Financial modelling is not a competition in the mastery of complexity. Rather, the aim is to [...]

An introduction to Bayesian analysis and why you might care. Fight club The subject of statistics is about how to learn.  Given that it is about the unknown, it [...]

How much does garch shorten long tails? Previously Pertinent blog posts include: "A practical introduction to garch modeling" "The distribution of financial returns made simple" "Predictability of kurtosis and [...]

A herd of heuristic algorithms is compared using a portfolio optimization. Previously "A comparison of some heuristic optimization methods" used two simple and tiny portfolio optimization problems to compare [...]

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website. Below is my take on the highlights (in [...]

How are returns calculated when net asset value goes negative? Previously In "A tale of two returns" we highlighted the similarities and differences of log returns versus simple returns. [...]

Do not use order when you want rank. Background The update of "A comparison of some heuristic optimization methods" is due to the bug that Luca Scrucca spotted. Actually, [...]

A simple portfolio optimization problem is used to look at several R functions that use randomness in various ways to do optimization. Orientation Some optimization problems are really hard. [...]