So it's been a week since I started down this path. I worked most of this out over last weekend, went to a conference, had hectic week at work, and then realized I lost my work. Gah.I'll be posting my general thoughts on R later. Most...

A common approach to reducing risk associated with financial portfolios is diversification. A portfolio made of components that are all highly correlated with each other -- a portfolio composed solely of financial stocks, for example -- is risky, because if there's a wide-spread crisis that affects the banking sector, all components of the portfolio will tank at once, together....

The “Minimum Correlation Algorithm” is a term I stumbled at the CSS Analytics blog. This is an Interesting Risk Measure that in my interpretation means: minimizing Average Portfolio Correlation with each Asset Class for a given level of return. One might try to use Correlation instead of Covariance matrix in mean-variance optimization, but this approach,

Introduction This semester I’m TA’ing a course on the Psychology of Music taught by Phil Johnson-Laird. It’s been a great course to teach because (i) so much of the material is new to me and (ii) because the study of the psychology of music brings together so many of the intellectual tools I enjoy, including

So you want to get statistical? Nowadays one of the ways to go is to use R, mostly in combination with ggplot2 for generating the plots. These plots and graphs however need some data, for that we use data sources. There are a lot of data sources availa...

I just ran across this post at Big Computing. On November 14th, there will be an R User meet-up in Washington, DC (Tyson's Corner) led by Mike Driscoll about using R for sabermetric analysis (linked here). I will actually be home in Maryland for a co...

My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many. A caveat to the applicatio...