by Patrick Burns.
Abstract: Simulations are performed which show the difficulty of actually achieving realized market neutrality. Results suggest that restrictions on the net value of the fund are particularly ineffective. A negative correlation — that is, market negativity — is proposed as a more reasonable target, both on theoretical and practical grounds. Random portfolios — portfolios that obey given constraints but are otherwise unrestricted — prove themselves to be a very effective tool to study issues such as this.
jun 25, 26
Many people are of the opinion that R has a corner on convenient data analysis. That may or may not be true. But now R literally has a corner that [...]
jun 25, 26
The most likely topics to appear here are: the R language statistics programming in general optimization