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
How to have a better chance of a good outcome. Making mistakes There’s been a lot of talk recently about data analysis problems with spreadsheets. If you’ve not stuck your [...]
jun 25, 26
The AllTrials campaign is pushing for all data on drug trials to be made public -- see the campaign statement. If the public has all the evidence rather than a [...]
jun 25, 26
Here is an interview with Ron Hochreiter, Assistant Professor at WU Vienna University Economics and Business. In 25 words or less tell us what you do (using German words is [...]