MFE at Columbia is good but pretty basic.The Math Finance there is very theoretical.Their Center for Applied Probability has had a good rep for manyyears. But if you want to get into a top tier bank you prob needa PhD.

Thanks. Does subtracting the risk-free rate make sense if the portfolio generating the returnis self-financing? Seems like kelly theory may break down in this case and argue for limitlessleverage since its effectively a free bet with high expectation.

<t>AM trying to determine kelly bet size when returns come from a normal distribution;Searches on Wilmott and on Google suggest that kelly fraction is mu/sigma^2 but this makes no sense:if I have a annual Information ratio of 1.5 with a mean of 6% and stdev of 4% the fraction comes outto be 37.50 we...

great to see that you agre with yourself

<t>Does anyone have suggestions on how to find a portfolio weight vector to maximize correlation with another portfolio?For example I have a pre-specified portfolio of hedge fund returns that I cannot trade, but want to maximize correlation with this through some other tradable assets - I have a sam...

<t>Does anyone know how to calculate the correlation of two portfolios directly from the covariance matrix?i.e. if I have a CAPM model r(i) = B(i)*mkt+e(i) which gives me cov matrix C when B(i) and sigma(i) are known or estimatedhow would I calculate the correlation between two portfolios with weigh...

When you losers are finished sniping at each other, then, and only thenwill this ugly mess get any better. I'm gone, I've got better things to do.

For quarterly data, look at sales of major trucking companies...SWFT,WERN,JBHT,USFC,ROAD,ABFS etc

<t>For a super-cap stock like MSFT, I would say yes, all the big indexers are forecasting previously non-existent dividends, it would matter a great deal to cost of carry on a $5billion dollar arb book. Regarding writeups of methodology, sorry tosh137 I am not aware of anything out there. The proble...

<t>Most index arb models look at historical payments for each stock, thenforecast these with similar ex dates and amounts, sometimes with a (small) growth factor if earnings estimates are decent....though unless you are doingsome futures fair value/basis calculations you could just use the historica...

<t>Exactly - I am actually trying to fit the solution to a model by Dong to minimize MSE on price instead of P/Ebut its virtually the same - my results are as you suggest "not robust". It is a complex system with manyparms but there seemed to be enough "order" there to maybe force a single solution....

<t>I have tried fitting this model, I seem to get local minima very dependent upon starting pointand a large number of useless minima which is surprising given the number of free parametersvs the number of data points; it should be "easy" to get a good fit. What upper/lower parameterboundaries are y...

Constellation Energy in Baltimore is profitable, and wellrun now that they are independent of GS.