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
Online Math Degrees has a page of ”100 savvy sites on statistics and quantitative analysis”. It has some that you recognize, some that you’ve hardly ever heard of. The sites [...]
jun 25, 26
R is a piece of software, but it is also a community. Help community The most visible aspect of the R community is help. This is also the most useful [...]
jun 25, 26
Some history and a prediction. Past A discussion broke out on the R-help mailing list in January 2006 about a technical report put out by the statistical computing group at [...]