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Sep
23
accepted How to compute modified-CVaR in the PerformanceAnalytics package?
Sep
23
comment When should you build your own equity risk model?
Right on. Shrinkage methods are remarkably effective and very easy to implement
Sep
23
revised When should you build your own equity risk model?
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Sep
23
revised When should you build your own equity risk model?
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Sep
23
answered When should you build your own equity risk model?
Sep
23
comment How to compute modified-CVaR in the PerformanceAnalytics package?
no prob. The community has a massive debt to you for your contributions!
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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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?
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Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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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?
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Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
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Sep
14
answered What is a sound way to project Company X's earnings over the next Y years?