8,034 reputation
1753
bio website wingedfootcapital.com
location New York
age 34
visits member for 2 years, 4 months
seen 17 hours ago

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?


Jul
28
answered What methods do I need to learn in order forecast asset price movements?
Jul
27
comment robust portfolio optimization re-balancing with transaction costs
The links and example in powerful is great - thanks! Your choice of optimizer seems general enough to solve the optimization problem while also referencing current weights. I believe I can pass an additional penalty to the objective function that measures the distance from the current weight vector to the weight vector the optimizer is solving for time a constant (e.g. transactions costs). Since your optimizer can take expected return as an input I expect it could take a current weight vector as well. This would enable me to optimize in the presence of transaction costs.
Jul
25
answered Most successful investors using academic-based framework?
Jul
25
comment robust portfolio optimization re-balancing with transaction costs
Thanks all. I looked at the vignette attached. This package takes as input a portfolio with a set of weights. I am looking for an optimizer to discover the optimal set of weights given the objective funcion and constraints above. So this module would be used downstream after the optimizer. The R-Finance content is a goldmine - thank you for sharing that - but doesn't seem to have anything on portfolio construction and optimization
Jul
24
revised Which approach dominates? Mathematical modeling or data mining?
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Jul
24
revised Which approach dominates? Mathematical modeling or data mining?
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Jul
24
revised Which approach dominates? Mathematical modeling or data mining?
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Jul
24
revised Which approach dominates? Mathematical modeling or data mining?
added 144 characters in body
Jul
24
answered Which approach dominates? Mathematical modeling or data mining?
Jul
24
asked robust portfolio optimization re-balancing with transaction costs
Jul
22
answered How to design a custom equity backtester?
Jul
21
comment Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
The optimizer might have used the error terms to gauge the certainty of the estimate (similar to Omega - the uncertainty matrix - in Black Litterman procedure). In my scenario, the regression equation is specified as: Excess Return of security = Intercept + Beta * Factor Return + Error. The expected value of the error term is zero. So the question is whether the intercept should be a free variable or suppressed.
Jul
20
comment Variable Selection in factor models
Hi I-CJW, can you elaborate a bit more on variance reduction?
Jul
20
comment Should Sharpe ratio be computed using log returns or relative returns?
Note that annualizing with square root of time implies that the asset returns are i.i.d.
Jul
20
revised How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
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Jul
19
comment Annualzing the log of daily returns riddle
Thanks Joshua -- yes that is a very similar problem and creative solution. Thank you for sharing!
Jul
19
answered How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
Jul
18
revised Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
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Jul
18
asked Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Jul
15
comment Easiest and most accessible derivation of Black-Scholes formula
@vonjd - yep that's the one!