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by LineOfBestFit
March 10th, 2017, 12:08 pm
Forum: Technical Forum
Topic: Scaling Volatility by Hurst Coefficient in Optimization Context
Replies: 3
Views: 826

Scaling Volatility by Hurst Coefficient in Optimization Context

Does anyone know where to find guidance on the idea of using something other than the square root of time to scale volatilities (and, by extension, correlation) within the context of say, a mean-variance optimization? Other than ensuring the resulting matrix ends up positive semidefinite so that the...
by LineOfBestFit
March 22nd, 2016, 12:58 pm
Forum: General Forum
Topic: Calculating Individual Asset Correlation With Portfolio
Replies: 3
Views: 1583

Calculating Individual Asset Correlation With Portfolio

<t>Assuming that I am working with a forecasted correlation matrix that has been validated through eigendecomposition, and is found to be positive semi-definite.I wish to find the correlation of any combination of constituent assets (a portfolio) to each individual asset, where the selected assets a...
by LineOfBestFit
September 22nd, 2015, 8:59 pm
Forum: Technical Forum
Topic: maximizing for number of positive days
Replies: 1
Views: 2414

maximizing for number of positive days

<t>I don't know if there is anything published out there on this specific topic. However, you could achieve the results you seek (if you were using historical data), by adapting the following approach.Create a column in Excel which houses a formula which is the weighted average of your N number of a...
by LineOfBestFit
September 21st, 2015, 10:33 am
Forum: General Forum
Topic: Skewness & Kurtosis of Correlation?
Replies: 12
Views: 3723

Skewness & Kurtosis of Correlation?

<t>pcaspers and outrun -- thank you very much. This is what I'm looking for. Shame on me, as I have come across coskew and cokurtosis before, but these didn't come to mind right away for some reason. But these are the exact metrics that I need.In a nutshell, I am trying to produce matrices which sho...
by LineOfBestFit
September 18th, 2015, 3:51 pm
Forum: General Forum
Topic: Skewness & Kurtosis of Correlation?
Replies: 12
Views: 3723

Skewness & Kurtosis of Correlation?

I'm wondering if there is any standard calculation for the degree of skewness and kurtosis for the joint distribution in a correlation analysis? I seem to only come upon highly specialized approaches in my searches; I'm only looking to see if there is a plain general formula for this.
by LineOfBestFit
June 20th, 2015, 1:38 pm
Forum: General Forum
Topic: Everybody is doing it -- Modern Portfolio Theory
Replies: 3
Views: 3179

Everybody is doing it -- Modern Portfolio Theory

<t>I think that what has probably happened was, in the 1950's when the building blocks for the MPT framework were first introduced, these optimization techniques were very unique and revolutionary, especially in an environment where computing power was very expensive and available to only a few. So ...
by LineOfBestFit
April 2nd, 2015, 3:48 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 4138

Annualized Median?

It was this exact paper I had in mind when I mentioned "dearth of material"...it seems all roads lead to Attilio Meucci on this subject.
by LineOfBestFit
April 1st, 2015, 2:48 am
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 4138

Annualized Median?

Outrun, thanks for the link and steps. I've gotten roped into some nonsense at work but I want to make sure I understand the underpinnings of this method before implementing. Looks interesting!
by LineOfBestFit
March 30th, 2015, 6:00 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 4138

Annualized Median?

<t>Thanks, Buran. Intuitively, I'd like to think that is the case too...but the reason you can scale VaR with the square root of time is because it is an extension of standard deviation, and standard deviation scales no problem due to assumptions of random walk pattern of returns and normal distribu...
by LineOfBestFit
March 30th, 2015, 12:50 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 4138

Annualized Median?

<t>Thanks for the responses so far. Yes, T4A, the additive issue is proving difficult to conceptualize. I have an application that accepts sub-annual series and annualizes them; I wanted an apples-to-apples comparison for the median but it doesn't seem to be a common thing. I suppose this is also wh...
by LineOfBestFit
March 29th, 2015, 6:55 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 4138

Annualized Median?

Given a series of returns with less than annual frequency, is there a well-known way to annualize the median of this series in the same way we may annualize the mean?
by LineOfBestFit
September 21st, 2014, 3:56 pm
Forum: General Forum
Topic: What do we do without Black-Scholes-Merton theory/formula?
Replies: 163
Views: 9085

What do we do without Black-Scholes-Merton theory/formula?

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: LineOfBestFitBSM may be a lousy theory, but I have an excellent hypothesis -- consider my postulation that trademaster is none other than Kondratiev2.it would be very ironic if trademaster is K2 as his favourite accusation on the "mar...
by LineOfBestFit
September 21st, 2014, 1:40 am
Forum: General Forum
Topic: What do we do without Black-Scholes-Merton theory/formula?
Replies: 163
Views: 9085

What do we do without Black-Scholes-Merton theory/formula?

BSM may be a lousy theory, but I have an excellent hypothesis -- consider my postulation that trademaster is none other than Kondratiev2.
by LineOfBestFit
July 17th, 2014, 12:10 am
Forum: Trading Forum
Topic: $ MARKET ANALYSIS $
Replies: 2025
Views: 305381

$ MARKET ANALYSIS $

I have not visited these forums for a couple of months. Quickly became physically ill when I realized that this thread was still ongoing.
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