network profile
| bio | website | |
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| age | ||
| visits | member for | 1 year, 1 month |
| seen | Sep 26 '12 at 23:24 | |
| stats | profile views | 15 |
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Jun 1 |
awarded | Student |
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May 31 |
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Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? Mostly I was trying to figure out the relation between goodness-of-fit in cross-section and the forecasting power... thank you! |
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May 31 |
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Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? Yes, I've read that book but it didn't say why cross-sectional regression has something to do with forecasting power... |
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May 31 |
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Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? Thank you! Yeah, my question was vague because I don't know how they do it in the quant funds. I know they play with various types of regressions. And I know they not only use regressions and factor models for risk modeling and pnl attributions, but also for alpha generating and forecasting. So I was looking for pointers about how cross-sectional regressions are used and how are they related to forecasting power (strategy performance). Knowing those, we then know which directions to go about improving regression models... |
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May 31 |
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Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? Thanks. But I am specifically asking about forecasting, not risk modeling and pnl attribution. Any more thoughts? Thank you! |
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May 31 |
asked | Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? |
