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Apr
9
comment How to deal with different amount of td's in computing Sharpe Ratio
I believe this question has already been answered.
Apr
3
comment Data Synchronization
I tend to shy away from moving average models and just increase the number of lags in a autoregressive model, but what you're saying makes sense.
Mar
29
comment Assessing Forcasting with Correlated Residuals
Residuals of what kind of model? And were you using seasonally adjusted CPI?
Mar
21
comment Call options portfolio: what would the underlyings' moments to be maximized?
I don't understand why you can't use Expected Shortfall for the portfolio of options. So long as you have the distribution of option prices at the horizon (which requires simulating both the prices and the implied volatility surface), then you can calculate a frontier in terms of returns and CVaR.
Mar
12
comment Calculate the expectation of a shift CDF
@Richard, if $F(X)$ is uniform, then wouldn't $F(X+a)$ also be uniform?
Mar
4
comment How to implement a long-term trade on oil?
I think I understood your point. The futures curve still prices in the cost of hedging in the physical market. So regardless of using the physicals or the futures to hedge the swap, you'll still be exposed, right?
Mar
4
comment How to implement a long-term trade on oil?
I figured something like that would be the case, but I usually don't deal with stuff like that.
Mar
1
comment Optimization procedure for entropy pooling
I have noticed that taking extreme views can tend to cause problems (the effective number of simulations being low is usually a good sign). One simple way to check the results is to assume it is a normal distribution and take the views using the analytical formula and see how the results change.
Feb
26
comment Market weights for Black-Litterman
It can be difficult to obtain market capitalization for some types of assets. Instead, you can use the weights to an arbitrary benchmark portfolio. That would be like backing out the returns that would result in you investing in the benchmark portfolio if you don't have any views.
Feb
16
comment Computing the Sharpe Ratio
@Freddy I was referring to when people create portfolios by maximizing expected Sharpe ratios (not my preferred way, but people do it). It's not done the same as evaluating a portfolio ex post.
Feb
15
comment Computing the Sharpe Ratio
I think the point that @Freddy has emphasized is the ex-post evaluation use of Sharpe ratio. He would presumably give a different answer for optimizing a portfolio using the ex-ante Sharpe ratio.
Feb
8
comment What continous adjustment methods are firms using for futures backtesting?
What do you think about using optimization to drive the transactions as compared to rules like these?
Jan
31
comment How to work out weights for a portfolio based on an inverse ratio with positive and negative values?
You mean when EBIT<0? Then just take EBIT/EV instead.
Jan
31
comment What to do with linear regression or regression splines outside of the training range?
There seems to be answers your link. You aren't satisfied with them? This topic is more relevant over there.
Jan
23
comment Robust-Bayesian optimization in Markowitz framework
His book has appendices that show the derivation for robust Bayesian optimization (available at symmys.com)
Jan
18
comment How to simulate one-minute bars data from one-day bars?
You're not able to get one-minute bars? Why not simulate one-minute and then construct simulated one-day bars using that information? At least that way it is consistent.
Jan
17
comment When hiring a quant, how can I protect my IP?
@Freddy, the only other case I recall off the top of my head is Eric Falkenstein and Telluride, but I'm sure there are others.
Jan
17
comment When hiring a quant, how can I protect my IP?
NDA may not prevent the theft, but it can provide recourse (though they are more effectively used by larger organizations that can afford to pay lawyers for an extended period than a one-man shop likely would). Nevertheless, I'm still impressed by how much you(@Freddy) had thought it through.
Jan
14
comment Regime switching in mean reverting stochastic process
I wasn't talking about that specific class of models, but you may need to get more data.
Jan
11
comment Regime switching in mean reverting stochastic process
This is closely related, but I'm not sure whether that R package can fit autoregressive models that you are looking to fit.