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Patrick Burns's user avatar
Patrick Burns's user avatar
Patrick Burns's user avatar
Patrick Burns
  • Member for 13 years, 3 months
  • Last seen more than 12 years ago
18 votes

How to annualize Sharpe Ratio?

12 votes

Evaluating automated trading strategies: accepted practice

12 votes

What is the intuition behind cointegration?

11 votes
Accepted

Does mean-variance portfolio optimization provide a real edge to those who use it?

11 votes

Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?

9 votes

How do I adjust a correlation matrix whose elements are generated from different market regimes?

7 votes

What are the popular methodologies to minimize data snooping?

7 votes

Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?

7 votes

What is the best way to "fix" a covariance matrix that is not positive semi-definite?

7 votes

How to detect regime change when estimating asset correlation from historical time series?

7 votes

How to estimate the probability of drawdown / ruin?

6 votes

Open source alternative to excel for investment and portfolio calculations

6 votes

How to properly evaluate backtest returns?

6 votes
Accepted

How can higher co-moments be applied to portfolio optimization in an asset allocation context?

5 votes

How to account for market movement when some exchanges are closed?

5 votes

Value at Risk backtesting (kupiec)

5 votes

What are the risk factors in analysing strategies?

5 votes

When should you build your own equity risk model?

5 votes
Accepted

How can I select the least correlated portfolio of assets?

4 votes

How would you test the hypothesis "There are no idiosyncratic returns available in the market"?

3 votes

What is a "coherent" risk measure?

3 votes
Accepted

Testing a simple stock market trading hypothesis?

3 votes

zero-sum active management riddle

3 votes

Do markets typically fall fast, and rise slowly

3 votes

How to improve the consistency of explained variance statistics in a linear equity model?

2 votes

How to compute the alpha decay of a strategy?

2 votes

How to apply risk-parity portfolio construction to a dollar-neutral portfolio?

2 votes

Do low volatility stocks outperform high volatility stocks over the long run?

2 votes

How do I incorporate time-variability in a pair trading framework?

2 votes

is beta of a portfolio always meaningful?