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Dec
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Nov
29
awarded  Nice Answer
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
Nov
21
answered portfolio optimization from empirical return distributions
Nov
6
revised Rank Correlation Based Prediction
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Nov
6
answered Rank Correlation Based Prediction
Oct
10
awarded  Popular Question
Oct
9
reviewed Approve 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
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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
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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.