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by BLOBY
March 16th, 2007, 3:48 pm
Forum: Technical Forum
Topic: Hedge Fund Replication
Replies: 6
Views: 77078

Hedge Fund Replication

What is it ?
by BLOBY
March 16th, 2007, 1:36 pm
Forum: Technical Forum
Topic: Hedge Fund Replication
Replies: 6
Views: 77078

Hedge Fund Replication

Does anyone got technical information about Hedge Fund Replication (I heard about ML paper...) ? I have visited FundCreator but lacks cruelly tranparency...
by BLOBY
December 8th, 2006, 2:53 pm
Forum: Technical Forum
Topic: CCO - Credit Derivatives on Commodities
Replies: 3
Views: 85621

CCO - Credit Derivatives on Commodities

Thks a lot
by BLOBY
December 8th, 2006, 8:03 am
Forum: Technical Forum
Topic: CCO - Credit Derivatives on Commodities
Replies: 3
Views: 85621

CCO - Credit Derivatives on Commodities

Hello, did somebody hear about CCO : these are Credit Derivatives on Commodities .... ?
by BLOBY
December 8th, 2006, 8:03 am
Forum: Technical Forum
Topic: CCO - Credit Derivatives on Commodities
Replies: 4
Views: 87613

CCO - Credit Derivatives on Commodities

Hello, did somebody hear about CCO : these are Credit Derivatives on Commodities .... ?
by BLOBY
October 19th, 2006, 9:00 am
Forum: Technical Forum
Topic: distribution fitting in Matlab
Replies: 9
Views: 91500

distribution fitting in Matlab

Ok, but I think that AIC is not performed in MATLAB.
by BLOBY
October 17th, 2006, 12:46 pm
Forum: Technical Forum
Topic: distribution fitting in Matlab
Replies: 9
Views: 91500

distribution fitting in Matlab

Sorry for this question jhlm, but what's AIC ? et what's the equivalent function in ML ?
by BLOBY
October 16th, 2006, 1:20 pm
Forum: Technical Forum
Topic: distribution fitting in Matlab
Replies: 9
Views: 91500

distribution fitting in Matlab

Thks a lot Wheeb. So I will create my own function...
by BLOBY
October 16th, 2006, 11:09 am
Forum: Technical Forum
Topic: distribution fitting in Matlab
Replies: 9
Views: 91500

distribution fitting in Matlab

I just want to know, among several distribution funstions (Normal, Lognormal, Pareto, Weibull, Binomial, Exponential,...) which is the best fitting curve...
by BLOBY
October 16th, 2006, 7:19 am
Forum: Technical Forum
Topic: distribution fitting in Matlab
Replies: 9
Views: 91500

distribution fitting in Matlab

Hello everybody,do you know a matlab function that gives me the best distribution function which fit my time serie ??
by BLOBY
October 12th, 2006, 2:32 pm
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97167

Covered Calls for asset management

I don't have access to the Financial Analysts Journal. Does somebody got this article ?
by BLOBY
October 11th, 2006, 7:04 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97167

Covered Calls for asset management

<t>Hello Vrank,My process is based on a statistical approach (PCA) and my purpose is to minimize my exposure to market implied risk factors. My benchmark is MSCI Europe and my funds show asymmetric betas. In upward markets, my beta is too low and I underperform MSCI, even with a relative low TE.Stro...
by BLOBY
October 10th, 2006, 2:32 pm
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97167

Covered Calls for asset management

<t>I'm not a conventional equity manager, because I'm managing quantitative funds, whose problem is that they underperform in bullish markets. I have a lot of TE and dispersion in my portfolios. And I try to find pick-up in that bullish market scenarios....Sorry Vrank, but concerning CPPI strategies...
by BLOBY
October 9th, 2006, 1:49 pm
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97167

Covered Calls for asset management

<t>Hello Vrank, I would be very interested to share inforrmations with you. I am investment manager and try to enhance my funds' performances.Two questions : 1) Is it a good idea to write index covered calls, instead of single stock ?2) Why equity + replicating put is nicer than the bond + call alte...
by BLOBY
September 25th, 2006, 8:31 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97167

Covered Calls for asset management

so, as a conclusion, for an asset manager, is it the best strategy for performance enhancing ??? Or do you see other strategies, such as CPPI or other ...? Thanks a lot for your comments on that thread.
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