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LinkedIn Online ForumHave something to say?Join the SYMMYS – Advanced Risk and Portfolio Management® discussion group for free to  Most Popular Discussions Alireza Long-Term Volatility ForecastThis question has partial overlaps to several discussions in this group, but i thought is worth a separate thread: yasmine H. 3 days ago • Edit • Markets cannot be predicted in absolute terms; it is much easier to predict volatility because it reverts to the mean and clusters. ... »      David Giancarlo Iliquidity Spreads in Emerging MarketsI'm trying so estimate a iliquidity spread for bond in the peruvian market. There is no market data locally, so I was thinking to ...   O Patrick Bank Capital Optimisation, Stability and ControlLooking to discuss COSC as a follow on to Economic Capital, IAS39, CVA and Basel 2/3, does anyone have any pointers, references or past ... O Patrick W. Edit • Bank Portfolio Optimisation - requires definition of the framework, handling a wide diversity of components, significant non-linearities ... »   John Vector Autoregression on data with different lengthsGiven some non-stationary data with different starting points, is there an approach (similar to Stambauh 1996 for MLE or EM) for ... Attilio M. Edit • This paper http://www.stat.tugraz.at/AJS/ausg052/052KharinYu.pdfaddresses your question through a two-step approach. Note, however, that the ... »   Danilo Return Forecasting via (Robust) RegressionHigh! Can anybody suggest a good reference paper on Return Forecasting via factor regression. C. G. Edit • Chapter 6 of the book "Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes" by Bernd Scherer and Doug Martin talks about ... »    Attilio Wold’s theorem - ARMAWold’s theorem states, in a loose way, that a stationary process can be expressed as an infinite moving average of serially uncorrelated ... Samit J. Edit • One application of Wold's theorem is in computing Hasbrouck's information share of a price series to price discovery. See http://faculty.chicag ... »  Hugo Elías Porfolio Attribution and EvaluationI am working in the Ten-Step in a investment portfolio. In steps 6, 7 (attribution and evaluation), I can not understand wich are the ... Hugo Elías A. Edit • Muradd, Just check this link to be familiar with the 10 steps that I was talking about: http://www.symmys.com/node/63 »    Ram Robust Bayesian Allocation questionHow do I interpret the v_i -- the numerator in formula (21) which calculates gamma_sigma -- in the paper Robust Bayesian Allocation? ...  Robust Bayesian Allocation papers.ssrn.comUsing the Bayesian posterior distribution of the market parameters we define self-adjusting uncertainty regions for the robust mean-variance problem. Under a... Attilio M. Edit • The efficient frontier (standard, Bayesian, or robust Bayesian) can be parametrized by the target volatility of the respective portfolio on ... »  Felix Jointly modelling interest rates and equity returnsDoes anybody know of a parsimonious model to jointly generate timeseries of asset classes (say monthly returns of equity indices and ...    MARCOS New book on High Frequency Tradinghttp://www.lulu.com/product/hardcover/advances-in-high-frequency-strategies/18772466  Lulu Marketplace lulu.comAdvances in High Frequency Strategies by Marcos M. López de Prado: SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is...     Davide Invariance of the Mahalanobis distanceOpen question: the Mahalanobis distance (cfr here: http://en.wikipedia.org/wiki/Mahalanobis_distance) is scale invariant; thus if I ... Attilio M. Edit • "A trade opportunity in interest rate space is a trade opportunity in P&L space, obtained by transforming rates into P&L through their DV01" ... » Ram Projecting a daily risk decomposition to an annual basisSuppose I have a daily risk factor model. The model generates expected daily log security returns based on the security's exposures to ... Ram A. Edit • Atillio - Thank you for the analysis. It seems that your analysis would also apply to a time-series factor model. In the simplest case, even the ... »   Jeff The Prayer -- Ten-Step Checklist for Advanced Risk and Portfolio ManagementI recently came across Attilio's 'The Prayer' in both his MathWorks webinar and its associated PDF and, though I have found it rather ... John H. Edit • You would need to test it to be sure. There's a lot of flexibility on how you do it. ... »  Carlos Paper for the Black Litterman Model: BLACK, F. (1989): “Universal Hedging: ..."For the people involved in the Black-Litterman model, I think the paper written by Black in 1989 is very interesting, talking about ... Carlos J. Edit • Unfortunately, there can't be a real equilibrium -in the sense of optimun- portfolio, but I guess that eventually, the equilibrium portfolio ... »  Top Influencers This Week Group StatisticsView Group Statistics » 
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