July 16, 2012
Portfolio diversity is a balancing act. Previously The post "Portfolio diversity" talked about the role of the correlation between assets and the portfolio. The current post fills a hole [...]
July 6, 2012
We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering -- the phenomenon of there being periods of relative [...]
July 2, 2012
What is the difference between Monte Carlo -- as it is usually defined in finance -- and random portfolios? The meaning of "Monte Carlo" The idea of "Monte Carlo" [...]
June 22, 2012
Two books were recently published that are sure to help R grow even faster. R has a reputation, partially deserved, for being hard to learn. These books will help. [...]
June 21, 2012
New events To R, or not to R, that is the question The Statistical Computing Section of the Royal Statistical Society presents a one-day event on 2012 June 29. [...]
June 18, 2012
A look at a simplistic measure of stock-picking opportunity. Motivation The interquartile range (the spread of the middle half of the data) has recently been added to the market [...]
June 4, 2012
Maximum drawdown is blazingly variable. Psychology Probably the most salient feature that an investor notices is the amount lost since the peak: that is, the maximum drawdown. Just because [...]
May 31, 2012
CambR was nice enough to invite Markus Gesmann and me to speak at their event on Tuesday. My talk was Inferno-ish R. See also The R Inferno. Epilogue Subscribe [...]
May 28, 2012
A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was [...]
May 22, 2012
On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 [...]