meta user
network profile
| bio | website | wingedfootcapital.com |
|---|---|---|
| location | New York | |
| age | 34 | |
| visits | member for | 1 year, 5 months |
| seen | 12 hours ago | |
| stats | profile views | 875 |
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 30 |
revised |
Implied forward rates puzzle deleted 73 characters in body |
|
Jul 30 |
revised |
Implied forward rates puzzle added 225 characters in body |
|
Jul 29 |
asked | Implied forward rates puzzle |
|
Jul 28 |
awarded | Nice Question |
|
Jul 24 |
comment |
Reference request: Survey article on GPU in Finance GPU is used for problems that can be solved in parallel. A genetic algo, GRRN network, and some optimization problems can benefit from a GPU (1000x speed-up). |
|
Jul 23 |
comment |
How does one measure the effect of latency on potential returns? nice answer @Ryogi |
|
Jul 18 |
comment |
Use of AI in portfolio optimization Most of us could rattle off dozens of such funds. AI is a broadly used term. Stylistically, I would be wary of an approach that states "There are no systems that are completely bad or completely good. If you have such a system that hits wrong every time, you just turn it around," he says. Suggests that the trades are not grounded in a hypothesis. |
|
Jul 18 |
revised |
Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern? added 117 characters in body |
|
Jul 17 |
revised |
Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern? added 45 characters in body; added 4 characters in body |
|
Jul 17 |
answered | Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern? |
|
Jul 3 |
comment |
How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? Fair enough. I think Meucci was demonstrating that - unlike Black-Litterman - he can deal with assets that have non-linear payoffs, take views on factors that are statistically related to the assets in question but not a part of the asset pricing function (ex: 10-year spread in his Butterfly trading example), including partial views on aspects of the distribution rather than simply views on relative or absolute return expectations. So he set a high bar to clear to demonstrate the power of entropy pooling. |
|
Jul 3 |
revised |
How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? added 56 characters in body |
|
Jul 3 |
answered | How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? |
|
Jul 2 |
revised |
What are the limits of bond portfolio immunization against interest rate changes? deleted 3 characters in body |
|
Jul 2 |
answered | What are the limits of bond portfolio immunization against interest rate changes? |
|
Jul 1 |
revised |
Sanity check - How to price callables added 85 characters in body |
|
Jun 30 |
comment |
Sanity check - How to price callables The code above has no commenting and the variables are not well defined. You should at a minimum be using pseudocode if you want any feedback. This algo seems to be missing the recursive dynamic I describe but since the variables are not defined no one can evaluate this. |
|
Jun 30 |
revised |
Sanity check - How to price callables added 99 characters in body |
|
Jun 30 |
revised |
Sanity check - How to price callables added 67 characters in body |
|
Jun 29 |
revised |
Sanity check - How to price callables added 139 characters in body; added 86 characters in body |
