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
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 [...]