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by BLOBY
September 22nd, 2006, 12:29 pm
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97277

Covered Calls for asset management

Ok, thanks a lot.But do people use index option or single stock option ?Furthermore, do you know other ways for portfolio's performance enhancement ?
by BLOBY
September 22nd, 2006, 6:47 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97277

Covered Calls for asset management

Dopeman, could you explain in details your observation ?
by BLOBY
September 21st, 2006, 11:59 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97277

Covered Calls for asset management

Does anybody use covered calls writing for asset management ? I wonder if it is a good way for performance enhancement ?
by BLOBY
August 25th, 2006, 7:07 am
Forum: Technical Forum
Topic: Portfolio Insurance Strategies: OBPI versus CPPI
Replies: 26
Views: 153656

Portfolio Insurance Strategies: OBPI versus CPPI

Thks a lot for your answer Lapsilago, but what's exactly a(t) and where does your expression come from : a(t) = C(0) / S(0)^m * exp((r-m(r-s^2/2-m^2s^2/2)*t) ?
by BLOBY
August 24th, 2006, 12:25 pm
Forum: Technical Forum
Topic: Portfolio Insurance Strategies: OBPI versus CPPI
Replies: 26
Views: 153656

Portfolio Insurance Strategies: OBPI versus CPPI

I try to implement a CPPI with variable multiplier (gearing). Does anybody got an idea on how to do that ?
by BLOBY
August 24th, 2006, 7:45 am
Forum: Technical Forum
Topic: Trackers (ETF)
Replies: 6
Views: 150154

Trackers (ETF)

Does anybody got more information now on that topic ?
by BLOBY
August 24th, 2006, 7:42 am
Forum: Technical Forum
Topic: PCA and independence of the residuals
Replies: 11
Views: 96044

PCA and independence of the residuals

Ok mensa0, why not ... But how does MLFA work ?
by BLOBY
August 22nd, 2006, 1:37 pm
Forum: Technical Forum
Topic: PCA and independence of the residuals
Replies: 11
Views: 96044

PCA and independence of the residuals

Ok philthegreek, but forget just a moment the PCA analysis : when you perform a multiple regression, how do you do for analysing the residuals, in terms of dependence and connection to a standard normal distribution ?
by BLOBY
August 22nd, 2006, 6:23 am
Forum: Technical Forum
Topic: PCA and independence of the residuals
Replies: 11
Views: 96044

PCA and independence of the residuals

Thanks for your help. In fact, I'm looking for a test of independence (Khi-deux ? Kolmogorov ?) and a test in order to know if residuals are following a standard normal distribution ...
by BLOBY
August 21st, 2006, 12:49 pm
Forum: Technical Forum
Topic: PCA and independence of the residuals
Replies: 11
Views: 96044

PCA and independence of the residuals

<t>Different methods are possible for excluding principal components :- find the eigenvectors that explain 90% of total variation- exclude the factors whose eigenvalues are less than average- extract the factors untill residuals of the projected datas are independentAnd I try to implement this last ...
by BLOBY
August 14th, 2006, 12:45 pm
Forum: Technical Forum
Topic: PCA and independence of the residuals
Replies: 11
Views: 96044

PCA and independence of the residuals

<t>Hello, I have performed a PCA analysis on my portfolio's returns. My target is to find the optimal number of statistical factors that explain the more information in my portfolio. I guess that I have to stop the extraction of the factors when residuals returns are independent each other. But I do...
by BLOBY
January 21st, 2006, 7:12 am
Forum: Technical Forum
Topic: Equity Pair Trades and P&L hedging with options
Replies: 0
Views: 121481

Equity Pair Trades and P&L hedging with options

How would you hedge your pair trade's P&L with options strategies ? Do options selling make sense for you ? And what's the reason ?
by BLOBY
January 18th, 2006, 2:40 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

Does anybody have the code for XLSWRITE in Matlab ?? Because my version does not include this function.
by BLOBY
January 3rd, 2006, 7:18 am
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

Are you here f95abl ?
by BLOBY
December 23rd, 2005, 11:15 am
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

f95abl, could you send me the code for XLSWRITE, because I have got another function for that and it doesn't work ?? Thanks a lot
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