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
Music and snow. Poke my eyes out Perhaps your immediate response is: ”I’d rather poke my eyes out with a burning stick than do data analysis.” There’s a completely different [...]
jun 25, 26
Move your data analysis to a computing environment specifically designed for it. Why R and not spreadsheets? Here are three reasons: complexity graphics money Spreadsheets are easily overwhelmed. Very complex [...]
jun 25, 26
The steps taken to fix an R problem. Task To prepare for the Portfolio Probe blog post called ”Implied alpha and minimum variance”, I tried to update a matrix of [...]