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Aug
23
revised The T+H Problem in Factor model forecasts
edited title
Aug
23
asked The T+H Problem in Factor model forecasts
Aug
23
revised How to calculate optimal standard deviation bands for trading?
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Aug
23
answered How to calculate optimal standard deviation bands for trading?
Aug
23
answered How well does CAPM beta track the risk of a particular market relative to world markets?
Aug
23
revised How can I select the least correlated portfolio of assets?
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Aug
23
answered How can I select the least correlated portfolio of assets?
Aug
22
answered What is the best data structure/implementation for representing a time series?
Aug
18
revised Any known bugs with Yahoo Finance adjusted close data ?
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Aug
18
comment Why does this Co-integrated basket look too good to be true?
By marks I mean when the currency pairs are quoted. Since there is a USD on each contract, if these currency pairs trade co-terminously then my hypothesis is false. On the other hand if one currency pair's quote for the day closes ahead of another currency pair but they are both marked on the same date then you might have a spurious result that is simply based on calendar/time effects.
Aug
17
comment Why does this Co-integrated basket look too good to be true?
Since you are modeling currency pairs across the globe there might be time effects in the model. For example, one currency pair may contain information about another currency pair because of timings of when markets open and close but the marks all take place on the same date.
Aug
17
revised Which valuation measures are most useful for equity market timing?
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Aug
17
answered Equity Risk Model Using PCA
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