Most popular posts in 2013 April A practical introduction to garch modeling (posted in 2012) A tale of two returns (posted in 2010) Stock-picking opportunity and the ratio of variabilities A pictorial history of US large cap correlation The top 7 portfolio optimization problems (posted in 2012) garch and the distribution of returns Alternative equity … Continue reading →

Highlights of the blog over the past year. Most popular posts The posts with the most hits during the year. The top 7 portfolio optimization problems A tale of two returns (posted in 2010) A practical introduction to garch modeling A look at Bayesian statistics A comparison of some heuristic optimization methods The distribution of … Continue reading →

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 →

Most popular posts in 2012 October Review of “R For Dummies” Annotations for “R For Dummies” A practical introduction to garch modeling S&P 500 correlation up to date A tale of two returns (posted in 2010) S&P 500 sector strengths A look at Bayesian statistics The top 7 portfolio optimization problems The basics of Value … Continue reading →

Most popular posts in 2012 September A look at Bayesian statistics Horses and volatility A practical introduction to garch modeling Review of “Numerical Methods and Optimization in Finance” by Gilli, Maringer and Schumann Not fooled by randomness A comparison of some heuristic optimization methods A tale of two returns (posted in 2010) Variability of garch … Continue reading →

Most popular posts in 2012 August Highlights of R in Finance 2012 A comparison of some heuristic optimization methods A practical introduction to garch modeling Another comparison of heuristic optimizers A tale of two returns (posted in 2010) A bug at Knight The top 7 portfolio optimization problems garch and long tails R Inferno-ism: order … Continue reading →

Most popular posts in 2012 July A practical introduction to garch modeling A comparison of some heuristic optimization methods Random portfolios versus Monte Carlo The top 7 portfolio optimization problems A tale of two returns (posted in 2010) 2 dimensions of portfolio diversity Alpha alignment R Inferno-ism: order is not rank Market predictions for years … Continue reading →

Most popular posts in 2012 June Variability in maximum drawdown Inferno-ish R A tale of two returns (posted in 2010) Two new, important books on R The top 7 portfolio optimization problems The number 1 novice quant mistake (posted in 2011) Smoothing the market for alpha High frequency trading and the volume clock Backtesting — … Continue reading →

Most popular posts in 2012 May Portfolio Diversity Random portfolios: 6 steps to a better fund management industry Cross-sectional skewness and kurtosis: stocks and portfolios A tale of two returns (posted in 2010) Asset correlations with minimum variance portfolios The top 7 portfolio optimization problems The quality of variance matrix estimation Correlations and positive-definiteness Exponential … Continue reading →

Most popular posts in 2012 April Information flows like water Replacing market indices The top 7 portfolio optimization problems A tale of two returns (posted in 2010) Cross-sectional skewness and kurtosis: stocks and portfolios Three things factor models do Beta is not volatility What the hell is a variance matrix? (posted in 2010) The quality … Continue reading →