Monthly Archives: November 2012
Discovering the quality of portfolio decisions
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of $10 million. Initially there are 50 names in the portfolio. It also ends the year with 50 names but has up to 53 names during the … Continue reading
US market portrait 2012 week 48
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
Upcoming events
New Events Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading
Posted in Events, R language
Leave a comment
The estimation of Value at Risk and Expected Shortfall
An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the subject. Starting ingredients Value at Risk (VaR) and Expected Shortfall (ES) are always about a portfolio. There are two basic ingredients that … Continue reading
Posted in R language, Risk
Tagged Conditional Value at Risk, Expected Shortfall, Value at Risk
2 Comments
US market portrait 2012 week 47
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
The guts of a statistical factor model
Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading
US market portrait 2012 week 46
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
An easy mistake with returns
When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time is easiest to do in … Continue reading
Posted in Quant finance, R language
Tagged log return, log return vs simple return, simple return
3 Comments
US market portrait 2012 week 45
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
