August 9, 2011
The first 6 trading days of August have been bad for the major indices, but how variable is that across portfolios? To answer that, two sets of random portfolios [...]
July 13, 2011
In which random portfolios are used as the vehicle for portfolio optimization. The paper The author is William Shaw. The paper goes by the succinct title of "Portfolio Optimization [...]
May 15, 2011
One suggestion is that benchmarks should be: transparent & unambiguous frame-able & customize-able appropriate with full coverage investable The source of this suggestion is Setting the Benchmark: Spotlight on [...]
April 21, 2011
What is the effect on predicted and realized volatility of substituting risk fraction constraints for weight constraints? Previously This post depends on two previous blog posts: "Unproxying weight constraints" [...]
April 18, 2011
How well do asset weight constraints constrain risk? The setup In "Unproxying weight constraints" I claimed that many constraints on asset weights are really a proxy for constraining risk. [...]
February 7, 2011
How to visualize luck when looking for skill. Quantitative Finance just published the paper Dicing with the market: randomized procedures for evaluation of mutual funds by Francesco Lisi. Here [...]
November 5, 2010
On Tuesday I gave a talk at the Thalesians entitled "Effective backtesting". You can get the annotated slides but below is an almost wordless introduction to backtesting. Introduction Figure [...]
August 24, 2010
Monday's Last Word by James Mackintosh in the FTfm states that stock correlations are very high relative to the historical record. He asserts that at least part of this [...]