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9h
comment Tools/R-code to create gain/loss-asymmetry plots
You would use the start of the gain or drawdown till end for days and return at each point in time
12h
comment Rebalancing portfolio weights
The user might be interested in PortfolioAnalytics which is in the same family as PerformanceAnalytics as it has easy to use functions which take care of all the heavy lifting
13h
answered Risk budgeting for Non linear Portfolios
13h
comment Gain/loss-asymmetry in artificial financial markets?
Theoretically this should result from some risk aversion in the utility function forcing multiple agents to go to a lower risk asset at the same time, you will need heterogenous agents for this to work (in order for your market to clear). From my last survey of the agent based modelling work on this there was not much done. This is not a "good" answer but may set you on the right direction in finding "useful" utility functions that can drive the behaviour to obtain this fact.
13h
answered Tools/R-code to create gain/loss-asymmetry plots
May
11
awarded  Revival
Mar
14
comment Does anyone know where I can find a free efficient frontier tool, or an informative and legitamate/academic graph of the efficient frontier?
Systematic Investor Toolbox masks base R functions, I would recommend against it.
Mar
14
answered Does anyone know where I can find a free efficient frontier tool, or an informative and legitamate/academic graph of the efficient frontier?
Mar
9
awarded  Yearling
Feb
19
comment Computing the minimum variance portfolio
Are you like for Programming code or math?
Feb
19
comment How to pull an exhaustive list of securities traded globally, on bloomberg?
You can specify that in the search I assume the default is yes but in can be precised in EQS
Feb
18
comment How to pull an exhaustive list of securities traded globally, on bloomberg?
Just enter those into the fields in the results screen of EQS, I updated the answer with the instructions
Feb
18
revised How to pull an exhaustive list of securities traded globally, on bloomberg?
added instructions
Feb
17
comment Is CAPM a failure?
I would suggest the Fama-French Carhart en.wikipedia.org/wiki/Carhart_four-factor_model
Feb
17
answered How to pull an exhaustive list of securities traded globally, on bloomberg?
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
@Datageek : How are you getting a different answer with EMA and the default?
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
Reading the source of TTR, it appears an EMA is being used by default on the diffs in price, Datageek: Are you specifying SMA?
Jan
20
revised Weighting with restrictions, but no clear objective function?
deleted 3 characters in body
Jan
20
comment Any New Discoveries in Quantitative Finance?
I wasn't really sure what OP defined as discovery, so I linked to a journal I read for new ideas
Jan
20
answered Weighting with restrictions, but no clear objective function?