329 reputation
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bio website about.me/stephen.rush
location Providence, RI
age
visits member for 3 years, 6 months
seen Aug 24 at 22:00

Experience is just inference from a limited and biased sample.


Sep
13
comment How to shift amongst asset classes in response to relative value views?
Another way to approach the problem would be to run simulations to determine the TAA bands to place on each asset class to maximize long run returns incorporating transaction fees. This method would be sensitive to initial weights so a risk neutral portfolio framework may be a useful starting point. I use a block bootstrap to account for auto correlation in the return series and time varying correlations.
Sep
10
comment How to shift amongst asset classes in response to relative value views?
The basic problem of allocation based on manager conviction can be solved with Black Litterman. To address the transaction cost constraint, you need to determine how good the managers are particularly under different asset class correlations. This is necessary to determine whether a given level of conviction is sufficient to overcome transaction costs. Without understanding the skill level of managers, you will not be able to find the magnitude of the trade. In studying the skill level of managers, you will need to determine the time horizon that a manager can accurately express views.
Sep
9
answered How to shift amongst asset classes in response to relative value views?
Jul
30
awarded  Student
Jul
30
asked Alternative to Block Bootstrap for Multivariate Time Series
Feb
10
awarded  Teacher
Feb
10
answered How to estimate the probability of drawdown / ruin?