by Patrick Burns.
Abstract: Most likely you know of the stock market dartboard game: some reputed experts are pitted against a portfolio that was selected ”by throwing darts”. This makes compelling journalism — especially when the darts win — but is less than perfect science. However, a more rigorous version of this game is good science. The enhanced method generally goes by the name of ”random portfolios” or ”Monte Carlo simulation”. It has the power to radically transform the practice of fund management — a dart to the heart. We will start by taking a close look at performance measurement. We will then move on to some wider issues of fund management.
This version: 2007 March 08 (pdf)
A slightly edited version of this appeared in the March 2007 issue of Professional Investor under the title ”Bullseye”.
jun 25, 26
Towards the basic R mindset. Previously The post ”A first step towards R from spreadsheets” provides an introduction to switching from spreadsheets to R. It also includes a list of [...]
jun 25, 26
I failed to find Kahneman’s book in the economics section of the bookshop, so I had to ask where it was. ”Oh, that’s in the psychology section.” It should have [...]
jun 25, 26
An introductory comparison of using the two languages. Background R was made especially for data analysis and graphics. SQL was made especially for databases. They are allies. The data structure [...]