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user 2379
The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.
0
votes
Is this a reasonable approach to determine the relative importance of valuation factors?
The approach you describe of looking at the valuation metrics in one period versus the returns in the next is similar to cross-sectional factor models, like Barra, or the Fama-Macbeth procedure. In th …
- 5,451
5
votes
Bayesian or Frequentist in Finance?
I would distinguish between Bayesian inference versus Bayesian portfolio management techniques.
Inference includes estimating parameters and credible intervals (the Bayesian version of confidence in …
- 5,451
2
votes
Portfolio Theory: Why is so much effort put into the reduction of estimation errors?
Just to provide some background on why mean-variance is so sensitive to estimation error, consider an unconstrained mean-variance optimization. The optimal weights are given by $$w=\frac{1}{\lambda}\S …
- 5,451
13
votes
Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
I'm not sure it makes sense to think of one as more correct than another. However, they do have significant differences. It may help to distinguish between ex-post evaluation of a strategy and ex-ante …
- 5,451
6
votes
Squared and Absolute Returns
To simplify, consider the errors rather than the returns. The variance is effectively the average of the squared errors, while absolute deviation is the average of the absolute errors. So plotting the …
- 5,451