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Aug
9
revised What are the best sources for equity quantitative research?
edited title
Aug
9
comment What are the best sources for equity quantitative research?
Good idea, although I'm not sure how to do do that. Feel free to edit if n'ecy.
Aug
9
accepted robust portfolio optimization re-balancing with transaction costs
Aug
9
asked What are the best sources for equity quantitative research?
Aug
9
answered How random are financial data series?
Aug
9
answered Indicators and research for stress-based investment strategies
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
You can find all of this except LEI at the St. Louis Federal Reserve bank: research.stlouisfed.org/fred2 You can find the LEI at : conference-board.org/data/bcicountry.cfm?cid=1
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
I agree with your interpretations. Other factors to consider are leading economic indicators, credit spreads between high-grade and investment grade firms, industrial production, and commodity prices.
Aug
7
revised Will price levels fall even though money supply increases?
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Aug
7
revised Will price levels fall even though money supply increases?
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Aug
7
answered Will price levels fall even though money supply increases?
Aug
5
comment What is the difference between the methods for calculating VaR?
Expected Shortfall also has the benefit of being a "coherent" risk measure, unlike VaR. Most of the recent literature in portfolio construction and optimization tends to use Expected Shortfall (or equivalently Conditional Value at Risk)
Aug
4
comment Portfolio optimization with monte carlo sampling from predictive distribution
It is purely empirical and cannot be modeled analytically.
Aug
3
revised Portfolio optimization with monte carlo sampling from predictive distribution
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Aug
3
revised Portfolio optimization with monte carlo sampling from predictive distribution
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Aug
3
asked Portfolio optimization with monte carlo sampling from predictive distribution
Aug
3
comment robust portfolio optimization re-balancing with transaction costs
Brian, 1) Can the PortfolioAnalytics function handle custom constraints (example: sector-neutral weights)? The constraint class looks pre-specified. 2) Also, I see that the optimize.portfolio function can accept a matrix of returns. I have a posterior distribution of expected market returns (i.e. K possible realizations of market returns for N assets resulting from MCMC). Can this function identify the optimal weight vector with respect to the sampling from the posterior? Of course, I would continue to use covariance of historical returns (de-noised) for calculation of ES. Thanks!
Aug
2
comment How do I graphically represent the evolution of a covariance matrix over time?
Those charts look great - thanks for posting! This seems like an interesting tool for identifying regime change points.
Aug
2
answered Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Aug
2
comment How do I graphically represent the evolution of a covariance matrix over time?
Cool! I updated the answer. I'm not sure if you are able to share/upload that output but it would be very intellectually interesting to look at!