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| bio | website | |
|---|---|---|
| location | Canada | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | yesterday | |
| stats | profile views | 48 |
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May 4 |
revised |
How to implement Maximum Diversification in R? edited title |
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May 4 |
asked | How to implement Maximum Diversification in R? |
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Apr 16 |
comment |
PCA Variances and Principal Portfolio Variances Thanks, I am getting same values. R variables get messy |
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Apr 16 |
revised |
PCA Variances and Principal Portfolio Variances EDIT: mistake with transpose of loading matrix |
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Apr 16 |
asked | PCA Variances and Principal Portfolio Variances |
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Mar 9 |
accepted | Calculating Momentum From Returns |
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Mar 8 |
comment |
Calculating Momentum From Returns Ok see above for the new modification. The price series, is just a equity series through cumprod. |
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Mar 8 |
revised |
Calculating Momentum From Returns Added Series |
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Mar 8 |
comment |
Calculating Momentum From Returns I am just trying to measure asset class momentum. Would I then just add them? |
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Mar 8 |
asked | Calculating Momentum From Returns |
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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. |
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Jan 25 |
answered | Why do low standard deviation stocks tend to have superior future returns? |
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Jan 4 |
revised |
How to cluster ETFs to reduce cardinality for portfolio selection added 211 characters in body |
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Dec 30 |
comment |
Determining portfolio risk return in R given historical data for individual holdings? I am no expert in R, but I have done enough programming to be rather comfortable with the language. Contact me at trader.x30@gmail.com if you need some help, I am an undergraduate student willing to lend an helping hand :) (see above for some code) |
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Dec 30 |
revised |
Determining portfolio risk return in R given historical data for individual holdings? Code |
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Dec 29 |
comment |
Determining portfolio risk return in R given historical data for individual holdings? I am assuming you are defining risk in traditional metrics. Given weights and historical data, wouldn't a simple weighted return of each asset give the return series of the portfolio? From there wouldn't you just go about calculating the standard deviation and annualized return of the portfolio return series? In R, you just use "sd(return.series)" to get risk. and return just use PerformanceAnalytics functions to get return |
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Dec 29 |
accepted | How to define the objective function for a custom optimization problem? |
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Dec 28 |
answered | Determining portfolio risk return in R given historical data for individual holdings? |
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Dec 26 |
answered | Hidden Markov Model & Its Application |
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Dec 19 |
awarded | Teacher |
