Patrick Burns

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seen Apr 9 '12 at 14:28
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33 Answers

newest activity votes
7
Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
2
Do markets typically fall fast, and rise slowly
5
How can higher co-moments be applied to portfolio optimization in an asset allocation context?
2
How to improve the consistency of explained variance statistics in a linear equity model?
2
How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
4
How to account for market movement when some exchanges are closed?
8
How do I adjust a correlation matrix whose elements are generated from different market regimes?
5
How to properly evaluate backtest returns?
1
How to compute the alpha decay of a strategy?
3
zero-sum active management riddle
2
Testing a simple stock market trading hypothesis?
4
How to annualize Sharpe Ratio?
8
Evaluating automated trading strategies: accepted practice
1
Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
5
How to detect regime change when estimating asset correlation from historical time series?
6
What is the best way to “fix” a covariance matrix that is not positive semi-definite?
1
What is a “coherent” risk measure?
3
When should you build your own equity risk model?
1
Do low volatility stocks outperform high volatility stocks over the long run?
5
Open source alternative to excel for investment and portfolio calculations
4
What are the risk factors in analysing strategies?
4
Value at Risk backtesting (kupiec)
9
Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
1
How do I incorporate time-variability in a pair trading framework?
4
How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
5
How can I select the least correlated portfolio of assets?
10
Correlation between prices or returns?
7
How to estimate the probability of drawdown / ruin?
2
is beta of a portfolio always meaningful?
7
Does mean-variance portfolio optimization provide a real edge to those who use it?
1 2