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seen Apr 14 at 3:10

Feb
23
awarded  Yearling
Nov
4
comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Sometimes heuristics works best. So before building a elaborate objective function to solve this potentially non linear func, I would check if there is good performance by combining the weights. Since min.var usually spits out a subset weights, why not try and apply Max div on those assets with > 0 weights?
Oct
24
awarded  Popular Question
Sep
25
asked Stat Arb Equity Pair Position Trigger
Jul
22
answered How to fit ARMA+GARCH Model In R?
Jun
11
revised Volatility Estimation
added 32 characters in body
Jun
11
comment Volatility Estimation
Sorry for the vagueness. The first E is the covariance for the two strategies while the second one is the covariance of the asset classes, instruments traded by each strategy. (assume they are the same universe)...in terms of coherence, I am assuming they as intuitively the covariance of the two strategies are made up of exposure to the correlation and variances of the asset classes held at each rebalance
Jun
10
asked Volatility Estimation
May
4
revised How to implement Maximum Diversification in R?
edited title
May
4
asked How to implement Maximum Diversification in R?
Apr
16
comment PCA Variances and Principal Portfolio Variances
Thanks, I am getting same values. R variables get messy
Apr
16
revised PCA Variances and Principal Portfolio Variances
EDIT: mistake with transpose of loading matrix
Apr
16
asked PCA Variances and Principal Portfolio Variances
Mar
9
accepted Calculating Momentum From Returns
Mar
8
comment Calculating Momentum From Returns
Ok see above for the new modification. The price series, is just a equity series through cumprod.
Mar
8
revised Calculating Momentum From Returns
Added Series
Mar
8
comment Calculating Momentum From Returns
I am just trying to measure asset class momentum. Would I then just add them?
Mar
8
asked Calculating Momentum From Returns
Jan
26
comment Why do low standard deviation stocks tend to have superior future returns?
The piece simply aims to use an alternate measure of volatility (beta) and check for the robustness of the low volatility anomaly. It universe encompasses small cap, mid cap, large cap. The results are summarized in the table whereby each top 50 stock’s performance are compared with the bottom 50’s performance. Results confirm the anomaly.
Jan
25
answered Why do low standard deviation stocks tend to have superior future returns?