Author Archives: Pat
US market portrait 2013 week 52
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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
Further adventures with higher moments
Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called “Four moments of portfolios” introduced the idea of looking at the stability of the mean, variance, skewness and kurtosis of portfolios through time. That post gave birth to a presentation at the London Quant Group. That talk gave birth … Continue reading
US market portrait 2013 week 51
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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
Another tale of two returns
The further adventures of returns on short positions. Previously There are three posts that are instructive about returns: A tale of two returns Returns with negative net asset values An easy mistake with returns There is also a (satirical) post on the statistical distribution of returns: “The distribution of financial returns made simple”. Scenarios You … Continue reading
US market portrait 2013 week 50
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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
The efficacy of higher moments in portfolio optimization
On Monday I gave a talk at the London Quant Group entitled “Exploring the efficacy of higher moments in portfolio optimisation”. A substantial number of people showed up, and they taught me quite a lot about the subject. So it seems to have been successful. There are now annotated slides available. The slides point towards … Continue reading
Posted in Quant finance
Tagged kurtosis, portfolio optimisation, portfolio optimization, skewness
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US market portrait 2013 week 49
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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
US market portrait 2013 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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
London Quant Group, and other upcoming events
Highlighted London Quant Group 2013 December 9, London. Pat Burns on “Exploring the efficacy of higher moments in portfolio optimisation”. Abstract: Typically portfolio optimisation only uses the first two moments — expected returns and variance. Is it useful to also use skewness and kurtosis? This talk will take a new look at optimisation, and then from … Continue reading
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US market portrait 2013 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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
