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| bio | website | wingedfootcapital.com |
|---|---|---|
| location | New York | |
| age | 34 | |
| visits | member for | 1 year, 6 months |
| seen | 9 hours ago | |
| stats | profile views | 903 |
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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Sep 7 |
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Historical data on short rates Hi Alon - welcome to quant.stackexchange.com. This is similar to my question here: quant.stackexchange.com/questions/3891/… |
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Sep 5 |
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How to define the objective function for a custom optimization problem? @pyCthon - sure shoot me a note. I'm attending an Emanuel Derman talk this Thu eve - could meet there. |
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Sep 4 |
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How to define the objective function for a custom optimization problem? @pyCthon - particular objective functions have clever solution strategies that are fast and accurate. For example, the author of CVAR (Uryasev) has a commercial product that is remarkably fast. But given an "aribtrary" objective function that may not be differentiable I think these general purpose algorithms are the best one can offer. Some firms (particuarly HFT) do invest in hardware such as FPGA to do as close to real-time optimization as possible. If you know of a good general-purpose algo that is also fast, let me know! |
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Sep 4 |
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How to define the objective function for a custom optimization problem? @pyCthon - good point. You can also use CUDA GPU to accelerate. |
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Sep 4 |
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Sep 4 |
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How to define the objective function for a custom optimization problem? @SRKX If the function is convex (and therefore differentiable) you can guarantee an optimum point using a quadratic optimizer. Updated my answer to elaborate a bit more |
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Sep 3 |
answered | How to define the objective function for a custom optimization problem? |
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Aug 28 |
awarded | Popular Question |
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Aug 23 |
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Is this a common variation of sharpe ratio? @Freddy btw, I don't disagree with your answer in fact I +1'd it -- I think there are some other dimensions to bring out that's all. Cheers |
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Aug 23 |
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Is this a common variation of sharpe ratio? @Freddy - Most of the critiques against the Sharpe nature are statistical in nature. True they apply to other measures but it seems an answer to the question. On Point 7: Most investors do not have mean-variance utility functions (see Prospect theory and Behavioral finance literature). On point 2, at higher intervals intra-month or intra-period volatility is drowned out. Monthly vol measurements miss entirely episodes such as Aug 2007 quant meltdown, flash crash, etc. There are scenarios where daily Sharpe can be > monthly sharpe but it isn't usually the case. |
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Aug 22 |
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Is this a common variation of sharpe ratio? @John - I like your point as an add'l new point (added). I should clarify my point to say that the comparability of the statistic across strategies assumes the joint normally distributed returns. |
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