Main points:
- the history of random portfolios extends at least to Chicago 1965
- testing a fund versus a benchmark takes many years to get reasonable statistical power
- a benchmark will be easier to beat some years versus others
- peer groups depend on the fantasy that there is little noise in the rankings of the peers
- there are open probability questions about random portfolios
- random portfolios are sometimes used like the statistical bootstrap, sometimes like a random permutation test
Presented 2009 April at the R/Finance Conference
Kommentarer inaktiverade för Random Portfolios: Practice and Theory
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 [...]