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3
votes
1answer
97 views

How to evaluate minimum-variance strategies against perfect information mvp

The minimum variance portfolio should minimize the standard deviation (variance) of the portfolio at time $t+1$. The covariance matrix $\Sigma_{t+1}$ needs to be estimated in order to form the mvp. ...
1
vote
1answer
89 views

ES not elicitable

Expected Shortfall is not elicitable as some papers have pointed out. That simply means that there is no scoring function that elicits ES. My question is, does this imply that Expected Shortfall ...
3
votes
0answers
92 views

How does one simulate intraday strategies which don't end up flat at the close?

I ran into this trying to simulate trading interlisted names between the NYSE and the TSX. Depending on my strategy parametrization it would sometimes end up with a significant short or long dollar ...
1
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0answers
64 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
1
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0answers
42 views

evaluating portfolio performance without knowing the amount held on cash accounts

I would like to evaluate the performance of a portfolio mananger. I know his trades, and the initial portfolio holdings. I do not know, however the amount held on his cash account. That is, I ...
0
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0answers
21 views

Fund Separation Theorem for Performance Seeking Portfolio

Can someone explain this statement? "The beauty of the fund separation theorem is that the performance seeking portfolio mandate is the same for all investors"
0
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0answers
28 views

Evaluation of Bayesian GARCH

I am using the bayesGARCH package to estimate Bayesian GARCH models and I was wondering how to evaluate them in terms of precision of forecast or at least the quality of the model. I have encountered ...
0
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0answers
34 views

measuring the performance of round-trips on stocks

can you provide me with some ideas to assess the profitability of round-trips? That is when I buy 100 shares of IBM at 10\$ and I resell them two days later at 11\$, how can I measure the profit made? ...