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| bio | website | wingedfootcapital.com |
|---|---|---|
| location | New York | |
| age | 34 | |
| visits | member for | 1 year, 5 months |
| seen | 16 hours ago | |
| stats | profile views | 873 |
Quantitative Equity Portfolio Management research with a focus on market-neutral and long/short investing strategies. Focus is on systematic, multi-disciplinary, and hypothesis-based approaches to alpha generation and risk control across regimes.
Previous roles: Fixed income credit portfolio decisioning at a major bank/broker-dealer, Management Consulting in Financial Services, Columbia Economics, and Machine Learning. Live and work in NYC.
All posts and comments represent my views and not that of my employer. email: ram - at - wingedfootcapital . com
My favorite answers:
How do you mix quantitative asset allocation with qualitative views?
Empirical or theoretical insights that have shaped your thinking
Why is the first principal component a proxy for the market portfolio?
How do I graphically represent the evolution of a covariance matrix over time?
Which approach dominates? Mathematical modelling or data mining?
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Nov 29 |
comment |
Bootstrapping first, then data mine? Great point re: preserving the auto and cross correlations. Block bootsrap method discussed by Stambaugh appears effective in that regard but it seems to me that the research on the best bootstrapping method is not definitive |
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Nov 21 |
answered | portfolio optimization from empirical return distributions |
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Nov 6 |
revised |
Rank Correlation Based Prediction added 455 characters in body |
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Nov 6 |
answered | Rank Correlation Based Prediction |
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Oct 10 |
awarded | Popular Question |
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Oct 9 |
reviewed | Approve suggested edit on Trading a synthetic replication of the VIX index |
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Oct 6 |
revised |
How to properly cross-validate when optimizing SVM classification? deleted 2 characters in body |
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Oct 6 |
answered | How to properly cross-validate when optimizing SVM classification? |
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Oct 6 |
revised |
Can money technically flow in and out of stocks or asset classes? added 69 characters in body |
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Oct 6 |
answered | Can money technically flow in and out of stocks or asset classes? |
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Sep 28 |
comment |
Comparing MVO with Resampled Efficient Frontier The best is probably Michaud's original text. Markowitz himself has some positive remarks: pionline.com/article/20031222/PRINTSUB/312220715 Of course, Markowitz's comments were before Scherer's systematic take-down so take it with a grain of salt. My view - there are better alternatives out there. |
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Sep 28 |
revised |
Comparing MVO with Resampled Efficient Frontier added 58 characters in body |
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Sep 28 |
answered | Comparing MVO with Resampled Efficient Frontier |
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Sep 25 |
answered | Library of basic indicators |
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Sep 21 |
awarded | Custodian |
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Sep 18 |
comment |
Markowitz mean-variance optimization as “error maximization” @John - Take a look at "Robust Portfolio Construction" by Bernd Scherer who has a takedown of Michaud's resampling technique on theoretical grounds (namely that it is not Bayesian although it smells like bootstrapping): papers.ssrn.com/sol3/papers.cfm?abstract_id=796625 |
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Sep 17 |
comment |
Markowitz mean-variance optimization as “error maximization” +1. There's alao a 2006 paper by Sebatian Ceria and Robert Stubbs that also illustrates this with an example. They both are at Axioma so you can also find some more research there. |
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Sep 16 |
revised |
Does amortization of bond start accumulating on trade date or settlement date? added 17 characters in body |
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Sep 16 |
answered | Does amortization of bond start accumulating on trade date or settlement date? |
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Sep 7 |
comment |
Historical data on short rates Have not reached out to them. FWIW, Most of PBs do have historical rates data available when I have spot checked various dates. |
