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Aug
17
accepted What are the best sources for equity quantitative research?
Aug
17
answered Which valuation measures are most useful for equity market timing?
Aug
9
comment Portfolio optimization with monte carlo sampling from predictive distribution
Will do - I should have an approach by end of month
Aug
9
comment Portfolio optimization with monte carlo sampling from predictive distribution
This is an excellent paper, thank you. Another paper that solves for weights given some expected return vector and uncertainty dispersion is Robust Bayesian Allocation by Meucci: papers.ssrn.com/sol3/papers.cfm?abstract_id=681553
Aug
9
revised Portfolio optimization with monte carlo sampling from predictive distribution
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Aug
9
revised What are the best sources for equity quantitative research?
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Aug
9
revised How do I graphically represent the evolution of a covariance matrix over time?
added another potential solution
Aug
9
revised What are the best sources for equity quantitative research?
edited title
Aug
9
comment What are the best sources for equity quantitative research?
Good idea, although I'm not sure how to do do that. Feel free to edit if n'ecy.
Aug
9
accepted robust portfolio optimization re-balancing with transaction costs
Aug
9
asked What are the best sources for equity quantitative research?
Aug
9
answered How random are financial data series?
Aug
9
answered Indicators and research for stress-based investment strategies
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
You can find all of this except LEI at the St. Louis Federal Reserve bank: research.stlouisfed.org/fred2 You can find the LEI at : conference-board.org/data/bcicountry.cfm?cid=1
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
I agree with your interpretations. Other factors to consider are leading economic indicators, credit spreads between high-grade and investment grade firms, industrial production, and commodity prices.
Aug
7
revised Will price levels fall even though money supply increases?
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Aug
7
revised Will price levels fall even though money supply increases?
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Aug
7
answered Will price levels fall even though money supply increases?
Aug
5
comment What is the difference between the methods for calculating VaR?
Expected Shortfall also has the benefit of being a "coherent" risk measure, unlike VaR. Most of the recent literature in portfolio construction and optimization tends to use Expected Shortfall (or equivalently Conditional Value at Risk)
Aug
4
comment Portfolio optimization with monte carlo sampling from predictive distribution
It is purely empirical and cannot be modeled analytically.