May 21, 2012
New events CambR (Cambridge UK R user group) 2012 May 29 6:30 PM for 7:00 PM start. Pat Burns "Inferno-ish R" Abstract: While R is wonderful, it is not [...]
May 17, 2012
All models are wrong, some models are more wrong than others. The streetlight model Exponential decay models are quite common. But why? One reason a model might be popular [...]
May 7, 2012
How many baskets are your eggs in? Meucci diversity Attilio Meucci directly addresses the adage: Don't put all your eggs in one basket. His idea is to think of [...]
April 30, 2012
Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution -- distributions as displayed [...]
April 23, 2012
they ought at least be allowed to state why they didn't do anything and also to explain the process by which they didn't do anything. First blush One of [...]
April 16, 2012
Guiding a ship, it takes more than your skill Spark David Rowe's Risk column this month is about data leverage. The idea is that you are leveraging your data [...]
April 4, 2012
How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios -- [...]
April 2, 2012
If equity markets suddenly sprang into existence now, would we create market indices? I'm doubtful. Why an index? The Dow Jones Industrial Average was born in 1896. This was [...]
March 26, 2012
The missing link between beta and volatility is correlation. Previously "4 and a half myths about beta in finance" attempted to dislodge several myths about beta, including that beta [...]
March 23, 2012
Does minimum variance act differently from low volatility? Do either of them act like low beta? What about high volatility versus high beta? Inspiration Falkenblog had a post investigating [...]