Reputation
8,562
Next tag badge:
101/100 score
16/20 answers
Badges
23 64
Impact
~283k people reached

Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
added 1 characters in body
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
edited body
Sep
23
comment How to compute modified-CVaR in the PerformanceAnalytics package?
fyi - I made a small fix to 2nd line. m4 <- PerformanceAnalytics:::M4.MM(R). This step does take several minutes to compute. However, this helps tremendously since I am optimizing with CVAR and I can store m3 and m4 in memory
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
deleted 4 characters in body
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
added 11 characters in body
Sep
23
asked How to compute modified-CVaR in the PerformanceAnalytics package?
Sep
20
comment Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Agreed. It just seems to me that state-space representations are more faithful representations of the dynamic nature of betas (vs. static OLS betas).
Sep
15
answered Are shorter holding period strategies better?
Sep
15
comment Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
Barra's state of the art is the "Eigenfactor" methodology. (It seems that Barra's desire to serve multiple users each who have conflicting objectives has led them to add one contraption or ad-hoc adjustment on top of another. I have seen some simple approaches that out-perform BARRA out-of-sample.) BARRA's original procedure (a la Rosenberg) follows the cross-sectional regression procedure given industry loadings and standardized factors loadings. I am surprised that there are not published empirical results on the performance of cross-sectional vs time-series methods.
Sep
14
accepted Portfolio optimization with monte carlo sampling from predictive distribution
Sep
14
comment Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
I tried to find a link for Sheikh paper but could not find it on google. I'll check Jstor - thanks for cleaning it up - I appreciate it!
Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
added 4 characters in body
Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
added 23 characters in body
Sep
14
answered What is a sound way to project Company X's earnings over the next Y years?
Sep
14
revised Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
edited title
Sep
14
asked Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
Sep
13
answered How to shift amongst asset classes in response to relative value views?
Sep
13
answered How are cryptography and speech recognition technology applied to forecasting financial markets?
Sep
12
comment Is the stock price process a martingale or a Markov process?
Nonetheless, it's interesting that Hidden Markov Models can successfully explain the "stylized facts" of equity market return distributions (including persistent volatility), skewness, and other forms of higher order dependence: ideas.repec.org/p/hhs/hastef/0117.html
Sep
9
comment What are the risk factors in analysing strategies?
@user508 - question #1 is are the results out-of-sample or in-sample (i.e. data snooping)