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LinkedIn Online Forum The SYMMYS - Advanced Risk and Portfolio Management group on LinkedIn shares research papers, code, modeling questions and answers on quantitative buy-side finance. Join
 Most Popular Discussions Marco INTEREST RATE AND CREDIT RISK IN THE VaR COMPUTATION OF INTEREST RATE SECURITIESHi all, MIGUEL ANGEL N. 22 hours ago • Edit • MIGUEL ANGEL likes this. »      Tim Black Scholes MatlabHas any one found limitations in the Matlab implementation of black-scholes? Marat M. Edit • Mark, after reading your comment I did quick research that confirmed what you said - quite a few improvements have been made in approximating ... »    Vladimir PCA vs sample covariance matrixBeing aware of the noisy features of the sample covariance matrix does it make sense to apply some other estimators (e.g. shrinkage or ... Vladimir R. Edit • Sure it seems like a good idea to use only those principal components that respesent meaningful signals. The question I had been asking was ... »  Amit Regarding the paper on "Factors On Demand"I have been reading the paper "Factors on Demand" discussed at http://ssrn.com/abstract=1565134by Attilio Meucci . I would be glad if ... We introduce "factors on demand", a modular, multi-asset-class return decomposition framework that extends beyond the standard... Paolo M. Edit • i think to understood your problem Amit, because i'm asking myself how the function MvnRndMatchCrossCov works because it accomodates the ... »   Jason Back in the day when I was a portfolio manager I regularly received pitches from sell side analysts and traders based on the appearance ...  An R-Squared Chart Taxonomy: Seeing is Not Believing blogs.cfainstitute.orgOften financial analysts are presented with statistical charts that purport to demonstrate an important — and, of course, investable — relationship between data points. These charts are supposed to...    Mark Code Sharing in the GroupHi all   Felix Reverse Engineering BLDoes anybody know of a good method to estimate an investor's confidence in her market views implied by her portfolio as it deviates from ... Jay W. Edit • I wouldn't bother with that paper if I were you. The only thing it contributes to the literature on portfolio optimization is that unconstrained ... »   Thierry Generalized Risk Based Investing"Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity, to name the most ... papers.ssrn.com papers.ssrn.com   Marcos The High Cost of Simplified MathFirms evaluating performance through Sharpe ratio are firing up to three times more skillful managers than originally targeted. This is ...  The High Cost of Simplified Math: Overcoming the 'IID Normal'... papers.ssrn.com* Investment management firms routinely hire and fire employees based on the performance of their portfolios. * Such performance is evaluated through... Leonard P. Edit • Thanks for the post. Here is the new URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2254668 »    Guang projection of non invariantsAs far as I have read on the Prayer or the book Risk and Asset Allocation, the projection of distribution to the horizon is based on ... Nicolas M. Edit • in the EWMA approach, projection can be quite tricky in the presence of serial correlation when Var (X_1 + X_2) != Var(X_1) + Var(X_2), one ... »   Abdelaziz Fully flexible extreme viewsHi everyone, John H. Edit • David, you specifically mention the univariate case here. I was thinking about using the grid representation in a multivariate framework, but ... »   Niall Singh Mean-Variance optimisation with Risk-Factor constraintsI am trying to combine a multi risk factor model with a mean variance quadratic utility function to find the optimal mean-variance ...    Marat Performance Persistence in Commodity Trading Advisors returnsI just posted the paper "CTA Performance Persistence: 1994-2010" on SSRN. The paper introduces a new concept of unleveraged CTA ... papers.ssrn.com papers.ssrn.com  Cagdas Out of Sample Mean Variance Optimization PerformanceHello, Fred V. Edit • I think the problem run much deeper. We are assuming first and foremost a true population parameter exists. This is the case with homogeneous ... »   Group StatisticsView Group Statistics » |
