Most popular posts in 2012 November The guts of a statistical factor model An easy mistake with returns A tale of two returns (posted in 2010) A practical introduction to garch modeling Discovering the quality of portfolio decisions The top 7 portfolio optimization problems The estimation of Value at Risk and Expected Shortfall The basics … Continue reading →
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
