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
I’d like to do a song of great social and political import. The code that created the illustrations in Tao Te Programming is now available as the TaoTeProgramming package on [...]
jun 25, 26
Another of the all ye entering here. Issue When subscripting an xts object, columns that don’t exist in the object are silently ignored. Example First, create an xts object: xtx [...]
jun 25, 26
Posts by page views Interview with a forced convert to R from Matlab A first step towards R from spreadsheets Plot ranges of data in R A statistical review of [...]