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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)
Sep
9
comment How to shift amongst asset classes in response to relative value views?
Agreed. Are there confidence levels or probabilities associated with the views? If yes, do you have a shrinkage target for your portfolio? Also, can we assume your utility function is plain vanilla mean-variance plus a penalty for transaction costs?
Sep
9
comment How to shift amongst asset classes in response to relative value views?
Can you make the simplifying assumption that the currency exposures of the international fund are the same (not just close) to those of the the currency fund's holdings?
Sep
9
revised Does the debt load affect the volatility of equity?
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Sep
9
revised Does the debt load affect the volatility of equity?
added 112 characters in body
Sep
9
revised Does the debt load affect the volatility of equity?
added 112 characters in body
Sep
9
revised Does the debt load affect the volatility of equity?
added 112 characters in body
Sep
9
answered Does the debt load affect the volatility of equity?
Sep
1
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
If you are only hedging the risk one security and you have a view on the most suitable hedges then PCA is not necessary as you can specify your model. If you aren't clear about what the best hedges are then you can use PCA notwithstanding the issues with PCA I noted above. Personally I would explore hedging using the factors produced from TSFA since there will be time-series autocorrelation in your data. By explore I mean test the performance of the hedge out of sample vs. a very simple approach (one factor regression).
Sep
1
comment Where can I find a database of ALL ETFs, sorted by age?
I know this isn't terribly helpful, but I did stumble across a blog one that had this information. I believe the term ETF was in the URL. If you find the blog again please post it as an answer. Thanks!
Aug
31
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
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Aug
31
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
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Aug
31
answered How do I eliminate developed currency funding cross rate risk in an EMFX position?
Aug
26
comment Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Yes - it is forecasting expected return. They are risk premia in the sense that I am regressing on risk factors (value, size, beta).
Aug
26
asked Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?