8,137 reputation
1957
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 8 months
seen May 27 at 18:53

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?


Oct
9
reviewed Approve suggested edit on Trading a synthetic replication of the VIX index
Oct
6
revised How to properly cross-validate when optimizing SVM classification?
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Oct
6
answered How to properly cross-validate when optimizing SVM classification?
Oct
6
revised Can money technically flow in and out of stocks or asset classes?
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Oct
6
answered Can money technically flow in and out of stocks or asset classes?
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.
Sep
28
revised Comparing MVO with Resampled Efficient Frontier
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Sep
28
answered Comparing MVO with Resampled Efficient Frontier
Sep
25
answered Library of basic indicators
Sep
21
awarded  Custodian
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
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.
Sep
16
revised Does amortization of bond start accumulating on trade date or settlement date?
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Sep
16
answered Does amortization of bond start accumulating on trade date or settlement date?
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.
Sep
7
comment Historical data on short rates
Hi Alon - welcome to quant.stackexchange.com. This is similar to my question here: quant.stackexchange.com/questions/3891/…
Sep
5
comment 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.
Sep
4
comment 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!
Sep
4
comment How to define the objective function for a custom optimization problem?
@pyCthon - good point. You can also use CUDA GPU to accelerate.
Sep
4
revised How to define the objective function for a custom optimization problem?
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