Monthly Archives: September 2012
Sharpe ratios, replacing managers and random portfolios
Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is “The Sharpe ratio’s market climate bias: Theoretical and empirical evidence from US equity mutual funds” by Sebastian Krimm, Hendrik Scholz and Marco Wilkens (abstract). SSRN claims a version of the paper is downloadable, but … Continue reading
Posted in Performance, Random portfolios
Tagged Monte Carlo in finance, Sharpe ratio
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Thalesians, and other events
Featured Thalesians, London 2012 September 12. Chia Tan on “Practical Financial Modeling”. Abstract: Financial modelling is not a competition in the mastery of complexity. Rather, the aim is to come up with the simplest models adequate to capture salient market features of traded products. There exists a wide gulf between material covered by traditional books … Continue reading
Posted in Events, R language
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A look at Bayesian statistics
An introduction to Bayesian analysis and why you might care. Fight club The subject of statistics is about how to learn. Given that it is about the unknown, it shouldn’t be surprising that there are deep differences of opinion on how to go about doing it (in spite of the stereotype that statisticians are accountants … Continue reading
US market portrait 2012 week 36
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
