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seen Jul 23 at 3:01

Mar
29
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Agreed. Seems like a tough one with very limited / partial data ...
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Thanks. And you got the question right. When you say 'looked for a similar asset in terms of correlation', what specific tests did you conduct to conclude that they are "similar enough"? I ask because the time series for the new one will still be limited ...
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
So if I understand correctly, a portfolio with 25% weights in A,B,FB,G needing the 5 year risk-return statistics would essentially ignore 50% of the portfolio value under that approach? Seems rather extreme ...
Jan
7
comment How to see if a set of asset returns corresponds to a known correlation matrix?
@Yugmorf: True, I added that it's a relative measure. I also added a more rigorous measure that you can do if you desire more concrete measures.
Jan
6
comment How do I graphically represent the evolution of a covariance matrix over time?
For folks wanting a quick intro to Eignevectors, Eigenvalues and vector angles (used above): riskprep.com/all-tutorials/36-exam-22/…
Jan
2
comment How can I go about applying machine learning algorithms to stock markets?
Shane, great answer below but I also think this is a great question here since I'm sure every quant here at sometime pondered about this at some time. Unlike the 'develop strategy' link, this is more generic and widely helpful (judging from the votes too).
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
Yup, it is simple in theory and I was expecting it to be simple in code too. I was actually expecting 3-4 lines of R code as the answer :) ... It's not the theory, it's the R syntax we're unfamiliar with (as well as integrating it with our C# based systems). But those more complex issue are questions for another day. Thanks and happy new year!
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
Those are all for determining the efficient frontier (and then the min or max variance within it). I'm looking for the risk-return for a portfolio; given a portfolio (I.e. portfolio weights are fixed, assets are known as is the historical data behind the assets)
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
Actually, none of your answers answer the question. I'm looking for risk-return GIVEN a portfolio - not plotting an efficient frontier. The system won't let me undo my vote up
Dec
29
comment Determining portfolio risk return in R given historical data for individual holdings?
Thanks. Google did give several results but the overall options were quite ... diverse? So I thought I'd ask fellow folks here.