# Blog Archives

## Physical books of “The R Inferno” and “S Poetry”

January 12, 2012
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Hardcopy versions of both The R Inferno and S Poetry are now available for sale. Physical economy Buy The R Inferno (the version dated 2011 April 30)   Buy S Poetry Discount The publisher, Lulu, has a coupon for a 25% discount off purchases (up to a maximum of \$50) that is good until the … Continue reading...

## Sensitivity of risk parity to variance differences

January 9, 2012
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Equal risk contribution of assets determines the asset weights given the variance matrix.  How sensitive are those weights to the variance estimate? Previously The post “Risk parity” gave an overview of the idea. In particular it distinguished the cases: the assets have equal risk contribution groups of assets have equal risk contribution A key difference … Continue reading...

## The top 7 portfolio optimization problems

January 5, 2012
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Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is indeed a problem. Spreadsheets are dangerous when given a complex task.  Portfolio optimization qualifies as complex in this context (complex in data requirements). If you are … Continue reading...

## Market predictions for years 2011 and 2012

January 2, 2012
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A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post “Revised market prediction distributions” presented plots showing the variability of various markets assuming no market-moving forces. The follow-up post “Some market predictions enhanced some of those plots with … Continue reading...

## R-specific review of blog year 2011

December 28, 2011
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Most popular posts Two of the ten most popular posts during the year were completely about R: The R Inferno revised (number 6) Solve your R problems (number 9) R played a role in the other eight top ten, and many of the rest of the posts as well. R The R Inferno was revised … Continue reading...

## Volatility estimation and time-adjusted returns

December 15, 2011
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Do non-trading days explain the mystery of volatility estimation? Previously The post “The volatility mystery continues” showed that volatility estimated with daily data tends to be larger (in recent years) than when estimated with lower frequency returns. Time adjusting One of the comments — from Joseph Wilson — was that there is a problem with … Continue reading...

## LondonR recap

December 10, 2011
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The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”.  This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply.  The good part is that if you want to use Amazon as your cloud provider, … Continue reading...

## The volatility mystery continues

December 5, 2011
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How do volatility estimates based on monthly versus daily returns differ? Previously The post “The mystery of volatility estimates from daily versus monthly returns” and its offspring “Another look at autocorrelation in the S&P 500″ discussed what appears to be an anomaly in the estimation of volatility from daily versus monthly data. In recent times … Continue reading...

## Alpha decay in portfolios

November 30, 2011
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How does the effect of our expected returns change over time?  This is not academic  curiosity, we want to know in the context of our portfolio if we can.  And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the returns of portfolios that … Continue reading...

## Asynchrony in market data

November 21, 2011
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Be careful if you have global daily data. The issue Markets around the world are open at different times.  November 21 for the Tokyo stock market is different from November 21 for the London stock market.  The New York stock market has yet a different November 21. The effect The major effect is that correlations … Continue reading...