lembarrasduchoix asked: thank you for the introduction to Newcomb’s paradox! Could you do a post on your favorite paradoxes? The decision theory paradoxes I’m familiar with are: Ellsberg Paradox— Theorists encode bothsituations with unknown...

Nico brought to my attention the 130/30: The New Long-Only (2008) by A. Lo, P. Patel paper in his comment to the Multiple Factor Model – Building CSFB Factors post. This paper presents a very detailed step by step guide to building 130/30 Index using average CSFB Factors as the alpha model and MSCI Barra

Here are the R codes of the second R lab organised by Serena Arima in supplement of my lectures (now completed!). This morning I covered ABC model choice and the following example is the benchmark used in the course (and in the paper) about the impact of summary statistics. (Warning! It takes a while to

Here are the R codes of the R labs organised by Serena Arima in supplement of my lectures. This is quite impressive and helpful to the students, as illustrated by the first example below (using the abc software). I am having a great time teaching this “ABC in Roma” course, in particular because of the

e-mails with the latest R posts.

(You will not see this message again.)