A nice way to check predictive ability is the AP decomposition by Andrew Lo.Best

I would be also interested.Best!

Hi All, have anyone implemented sucessfully implemented CDaR? I can't found the set of linear inequalities corresponding to drawdown constraints.Best Regards,Jaime Zamora

<t>Hi All,I'm using cvar constraints in a portfolio optimization routine. Scenario generation using copulas is at this time computionally prohibitive to me, so I'm using historical data.The question is: how many days should I use to generate a robust 95% tail estimation. For 1 year (250 days) it's j...

Hi All, is there a web or bloomberg service where I enter my ETF portfolio and I get underlyings and intersections?Best,Jaime

t student, at least for etfs

Thanks! I'll check it out.Best,Jaime

<t>Hi All, I'm trying to build a strategy to time my model i.e. use my model when it's performing good and go to cash when it's not performing well. It should be a meta-model, a sort of manager that chooses between cash and the model. I haven't found any paper about this. If anyone can help, it woul...

Hi All, I'm trying to populate a price database from bloomberg through matlab. I think that is quite slow (about 2 seconds per ticker). Is there a way to tweak bbcomm in order to improve speed? Is there a bloomberg-matlab best practices available?Best Regards,Jaime

Hi All, I just bought a quad core computer (Q6600 Intel Quad) and I noticed that it's just twice fast as my 2 GHz centrino. I suppose that something can be done to achieve better performance. Is there a tutorial about this issue?Best,Jaime

QuoteOriginally posted by: LeonidasFind your answer hereThanks Leonidas!!

I'm already using the add in to download, however, I'm looking for a more robust solution.Best,Jaime

Hi, I'm trying to find a simple vba script to download historical stock data from bloomberg using vba. Is there any resources available?Best Regards,Jaime

Hi all, I have a list on 250 generic futures listed on bloomberg. They have the XX1 sintaxis. How can I know the underlying without querying one by one?Best,Jaime

<t>Hi, I'm using Bloomberg to feed our quantitative models. We've found a way to build the database from a ticker list, however, the tricky part is to build the list to be downloaded. We've found EQS tool for build the ETF list traded on US exchanges, but I still can't find a way to buit indices lis...