# 2484 search results for "twitter"

## How does Matt kemp become Andre Dawson?

October 18, 2011
By

While reading this article over at Fangraphs I was inspired to ask myself “what would Matt Kemp have to do between now and then end of his career to be seriously considered for the Hall of Fame?”.  This question comes … Continue reading →

Read more »

## Generating restricted permutations with permute

October 18, 2011
By

In a previous post I introduced the permute package and the function shuffle(). In that post I got as far as replicating R’s base function sample(). Here I’ll briefly outline how shuffle() can be used to generate restricted permutations. shuffle() … Continue reading →

Read more »

## 130/30 Porfolio Construction

October 18, 2011
By

The 130/30 funds were getting lots of attention a few years ago. The 130/30 fund is a long/short portfolio that for each \$100 dollars invested allocates \$130 dollars to longs and \$30 dollars to shorts. From portfolio construction perspective this simple idea is no so simple to implement. Let’s continue with our discussion from Introduction

Read more »

## Short selling, volatility and bubbles

October 17, 2011
By

Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, sin...

Read more »

## R Tools for FEC Campaign Finance Disclosure Data

October 17, 2011
By

For my first contribution to the blog, I wanted to make some kind of enlightening visualization of campaign finance disclosure data from the Federal Election Commission’s website. It looks like they’re working on some new, easy-to-use data dumps here, but … Continue reading →

Read more »

## National Gallery of Ireland

October 15, 2011
By

During a short if profitable visit to Dublin for a SFI meeting on Tuesday/Friday, I had the opportunity to visit the National Gallery of Ireland in my sole hour of free time (as my classy hotel was very close). The building itself is quite nice, being well-inserted between brick houses from the outside, while providing

Read more »

## Maximum Loss and Mean-Absolute Deviation risk measures

October 14, 2011
By
$Maximum Loss and Mean-Absolute Deviation risk measures$

During construction of typical efficient frontier, risk is usually measured by the standard deviation of the portfolio’s return. Maximum Loss and Mean-Absolute Deviation are alternative measures of risk that I will use to construct efficient frontier. I will use methods presented in Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds by

Read more »

## principles of uncertainty

October 13, 2011
By

“Bayes Theorem is a simple consequence of the axioms of probability, and is therefore accepted by all as valid. However, some who challenge the use of personal probability reject certain applications of Bayes Theorem.“  J. Kadane, p.44 Principles of uncertainty by Joseph (“Jay”) Kadane (Carnegie Mellon University, Pittsburgh) is a profound and mesmerising book on

Read more »

## Introduction to Asset Allocation

October 12, 2011
By

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and Cardinality Constraints Arithmetic and Geometric

Read more »

## Typos in Introduction to Monte Carlo Methods with R

October 12, 2011
By

The two translators of our book in Japanese, Kazue & Motohiro Ishida, contacted me about some R code mistakes in the book. The translation is nearly done and they checked every piece of code in the book, an endeavour for which I am very grateful! Here are the two issues they have noticed (after incorporating

Read more »