Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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Maximum Sharpe Portfolio

Maximum Sharpe Portfolio | Quantitative Finance | Scoop.it
Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier.
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The top 7 portfolio optimization problems

Stumbling blocks on the trek from theory to practical optimization in fund management.

 

Problem 1: portfolio optimization is too hardProblem 2: portfolio optimizers suggest too much tradingProblem 3: expected returns are neededProblem 4: mean-variance optimization is restrictiveProblem 5: portfolio optimization inputs are noisy estimatesProblem 6: transaction costs are trickyProblem 7: risk and alpha factor alignment trouble

 

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R needs some bureaucracy

R needs some bureaucracy | Quantitative Finance | Scoop.it
(This article was first published on The Shape of Code » R, and kindly contributed to R-bloggers) Writing a program in R is almost bureaucracy free: variables don’t need to be declared, the language does a reasonable job of guessing the...
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Digging into the VIX

Digging into the VIX | Quantitative Finance | Scoop.it
(This article was first published on Shifting sands, and kindly contributed to R-bloggers)
I wanted to revisit using some sort of volatility filter for systematic trading.
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Predicted correlations and portfolio optimization

Predicted correlations and portfolio optimization | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
What effect do predicted correlations have when optimizing trades?
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Simulating Random Multivariate Correlated Data (Categorical Variables)

Simulating Random Multivariate Correlated Data (Categorical Variables) | Quantitative Finance | Scoop.it
(This article was first published on Statistical Research » R, and kindly contributed to R-bloggers)
This is a repost of the second part of an example that I posted last year but at the time I only had the PDF document (written in ).
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Another Way to Look at Vanguard and Pimco

Another Way to Look at Vanguard and Pimco | Quantitative Finance | Scoop.it
(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that...
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10 R packages every data scientist should know about

10 R packages every data scientist should know about | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) The yhat blog lists 10 R packages they wish they'd known about earlier. Drew Conway calls them "10 reasons to always start your analysis in R".
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Quantile Autoregression in R

Quantile Autoregression in R | Quantitative Finance | Scoop.it
(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers)
In the past, I wrote about robust regression. This is an important tool which handles outliers in the data.
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Google Statistician uses R and other programming tools

Google Statistician uses R and other programming tools | Quantitative Finance | Scoop.it
(This article was first published on Maximize Productivity with Industrial Engineer and Operations Research Tools, and kindly contributed to R-bloggers) A great interview on the Simply Statistics blog with Google's Nick Chamandy, Phd in...
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An infelicity with Value at Risk

An infelicity with Value at Risk | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
More risk does not necessarily mean bigger Value at Risk.
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Flowchart: How to learn survey analysis with R

Flowchart: How to learn survey analysis with R | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) In a recent talk to the DC R User Group, Anthony Damico presented the following handy flowchart for learning to do survey analysis with R (actually,...
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Are We In A New VIX Regime?

Are We In A New VIX Regime? | Quantitative Finance | Scoop.it
It would appear that the sell-side is in a full-court-press to convince the world that the levitation of nominal equity prices is indeed the start of something new and secular - as opposed to the inevitable consequence of global monetary...
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Dealing with different object types in a vector in R

Dealing with different object types in a vector in R | Quantitative Finance | Scoop.it
(This article was first published on We think therefore we R, and kindly contributed to R-bloggers) I came across a little problem while dealing with a vector in R which had one of the most simple solutions.
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Ordinal Data

Ordinal Data | Quantitative Finance | Scoop.it
(This article was first published on Wiekvoet, and kindly contributed to R-bloggers)
I expect to be getting some ordinal data, from 5 or 9 point rating scales, pretty soon, so I am having a look ahead how to treat those.
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Using R in LaTeX with knitr and RStudio

Using R in LaTeX with knitr and RStudio | Quantitative Finance | Scoop.it
(This article was first published on Statisfaction » R, and kindly contributed to R-bloggers) Hi, I presented today at INSEE R user group (FLR) how to use knitr (Sweave evolution) for writing documents which are self contained with respect...
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Shiny with PerformanceAnalytics Example

Shiny with PerformanceAnalytics Example | Quantitative Finance | Scoop.it
(This article was first published on rbresearch » R, and kindly contributed to R-bloggers)
The folks at Rstudio have done some amazing work with the shiny package.
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A volatility filter using historical vol

A volatility filter using historical vol | Quantitative Finance | Scoop.it
(This article was first published on Shifting sands, and kindly contributed to R-bloggers)
We have been looking at a way to improve risk adjusted returns by using a volatility filter.
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Momentum in R: Part 4 with Quantstrat

Momentum in R: Part 4 with Quantstrat | Quantitative Finance | Scoop.it
(This article was first published on rbresearch » R, and kindly contributed to R-bloggers)
The past few posts on momentum with R focused on a relatively simple way to backtest momentum strategies.
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Copying Data from Excel to R and Back

Copying Data from Excel to R and Back | Quantitative Finance | Scoop.it
(This article was first published on Statistically Significant, and kindly contributed to R-bloggers) A lot of times we are given a data set in Excel format and we want to run a quick analysis using R's functionality to look at advanced...
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Sector Rotation Back Test Shiny web application

Sector Rotation Back Test Shiny web application | Quantitative Finance | Scoop.it
Today, I want to share the Sector Rotation Back Test application (code at GitHub).
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Cluster Portfolio Allocation

Cluster Portfolio Allocation | Quantitative Finance | Scoop.it
Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method is Cluster Risk Parity (Varadi, Kapler, 2012).
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Some of Excel’s Finance Functions in R

Some of Excel’s Finance Functions in R | Quantitative Finance | Scoop.it
(This article was first published on factbased, and kindly contributed to R-bloggers)
Last year I took a free online class on finance by Gautam Kaul. I recommend it, although there are other classes I can not compare it to.
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An Example of Seasonality Analysis

An Example of Seasonality Analysis | Quantitative Finance | Scoop.it
Today, I want to demonstrate how easy it is to create a seasonality analysis study and produce a sample summary report. As an example study, I will use S&P Annual Performance After a Big January post by Avondale Asset Management.
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R scripts for analyzing survey data

R scripts for analyzing survey data | Quantitative Finance | Scoop.it
(This article was first published on The Data Monkey, and kindly contributed to R-bloggers) Another site pops up with open code for analyzing public survey data: http://www.asdfree.com/ It will be interesting to see whether this gets used...
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