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Oct
12
answered French and Fama Three Factor Model - What is the correct formula?
Oct
7
answered correlated random variables with additional autocorrelation - multi dimensional cholesky?
Oct
7
answered Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
Oct
7
comment How to interpret regression coefficients with dummy explanatory variables?
Based on what is said in @SRKX's answer, the 2.4% is mistaken.
Oct
7
comment How to interpret regression coefficients with dummy explanatory variables?
@jeffrey Your interpretation of the dummy is correct. You were mistaken on the first interpretation as SRKX points out. However, if I saw a beta that low, it would make me pause and re-evaluate the results. Note that there is a large literature on post earnings announcement drift. The event study approach is quite popular.
Oct
7
comment How to interpret regression coefficients with dummy explanatory variables?
@SRKX Including a dummy variable in a linear regression is not the same thing as mixing linear and logistic regression. In fact, I don't even know what it would mean to mix the two.
Oct
6
revised Why does it take so many lines of code to price even the simplest of options with QuantLib
Fixing some spelling issues.
Oct
5
answered Autocorrelation in the GARCH model residuals
Sep
29
comment How to perform risk budgeting for non-linear portfolios?
See papers.ssrn.com/sol3/papers.cfm?abstract_id=2276632 and papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533
Sep
28
answered Tests for Mean Reversion in a Portfolio Rebalancing
Sep
25
comment Tests for Mean Reversion in a Portfolio Rebalancing
You should read up on cointegration. Learn about the Engle-Granger test. If your portfolio weights are proportion to regression coefficients, then it should be similar to what you're talking about wrt testing for mean-reversion in a portfolio of assets.
Sep
25
answered Adjust regression for thin trading
Sep
8
comment Is there any index calculation methodology that is suitable when constituents change frequently?
I would probably consider the concept of an index to be broader than the concept of a benchmark. There are a number of goals for a benchmark that you don't necessarily need to have with an index. You want to easily replicate someone's benchmark. You have a bit more freedom with an index. That means that what's "suitable" depends. For instance, you could specify some objective and then tell the optimizer to constrain turnover in order to handle frequent adds or drops. Lots of options.
Aug
11
comment Calculate turnover for portfolio
@user1723765 I'm getting null when I try to extract them from results. That why I thought it was the issue.
Aug
11
comment Calculate turnover for portfolio
I think the problem is with the line results <- Return.portfolio(data,rebalance_on="months",geometric=F,verbose=T) It is returning a xts/zoo type, rather than a list of the multiple outputs that you're trying to get from it.
Aug
11
revised Calculate turnover for portfolio
Fixing some issues
Jun
11
answered Reproducing levels when PCA has been done on changes
Jun
11
comment Reproducing levels when PCA has been done on changes
You might want to add some more details about what kind of analysis you want to do about the levels. For instance, do you want to forecast the future levels of the time series.
Jun
4
comment Beta Constrained Markowitz Minimum Variance Portfolio - Closed Form Solution
The constraints can be grouped together to something like $Aw=b$, so that the lambdas are a vector. This set-up is actually pretty common. I typically refer to the derivation in edoc.hu-berlin.de/master/jiao-wei-2003-12-16/PDF/jiao.pdf
Jun
3
comment Regression model when samples are small and not correlated
@cogolesgas It wouldn't surprise me that it's very low. However, it might or might not be a statistically significant relationship. Moreover, they could also test applying the equation to hundreds of stocks and see if it makes sense to try to trade on it.