(The avocado talk)
Main points:
- Neither word in ”portfolio optimization” is very good — a much better phrase is ”trade selection”
- An experiment hints at the usefulness of skewness and kurtosis for equities
- The number of parameters explodes for skewness and kurtosis for large asset universes
- Factor models and shrinkage are two possible ways of modeling skewness and kurtosis
- There is a lot that we don’t know
Presented 2013 December 9 at the London Quant Group.
Kommentarer inaktiverade för Exploring the efficacy of higher moments in portfolio optimisation
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 [...]