SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by CTD
November 21st, 2007, 10:10 pm
Forum: General Forum
Topic: Best books in Finance
Replies: 4
Views: 62455

Best books in Finance

2nd...I'd also suggest Fabozzi's "Handbook of Fixed Income Securities", though it's useful more as a reference than anything.
by CTD
November 16th, 2007, 11:56 pm
Forum: General Forum
Topic: Analyzing Investments Whose Histories Differ in Length
Replies: 8
Views: 63226

Analyzing Investments Whose Histories Differ in Length

I'm probably missing something, but why couldn't you simply truncate the time-series for the asset with the shorter series (ie, calc covariance between the two assets across only the overlapping data)?
by CTD
November 16th, 2007, 11:49 pm
Forum: General Forum
Topic: Efficient Frontier
Replies: 11
Views: 163016

Efficient Frontier

Investments, by Brodie, Kane and Marcus provides a step-by-step guide to setting up Markowitz in Excel--no macro needed.
by CTD
November 16th, 2007, 4:37 pm
Forum: Student Forum
Topic: How high the GRE subject in math score is enough for MFE?
Replies: 4
Views: 63272

How high the GRE subject in math score is enough for MFE?

<t>QuoteOriginally posted by: richardfreeThank you for your reply.I intensively searched their website, but still could not find "minimum score" of this test. That's why I came here to ask people who have some experience on this matter.800.I' m not sure about the math subject test, but for the quant...
by CTD
November 16th, 2007, 1:12 am
Forum: Student Forum
Topic: Applying for MFE 2008.. What are the chances?
Replies: 8
Views: 65850

Applying for MFE 2008.. What are the chances?

<r>QuoteOriginally posted by: topkatzI graduated about a year ago from NYU's math-finance masters program, but I began it way back in 2001 as a part-time student. I think the acceptance rate back when I entered was towards the high end of the 20% - 40% range (else how would I have gotten in <E>;-)</...
by CTD
November 15th, 2007, 11:48 pm
Forum: General Forum
Topic: Anyone have a reliable method for collecting market holidays?
Replies: 5
Views: 62523

Anyone have a reliable method for collecting market holidays?

The best way I've yet found, as Bloomberg data for this is spotty and can't be easily downloaded, is to go to each exchange's website and manually collect holidays. Can anyone enlighten me as to a better (spelled, easier) way to do this? C
by CTD
November 8th, 2007, 9:12 pm
Forum: Student Forum
Topic: Fama-MacBeth in MatLab
Replies: 5
Views: 67700

Fama-MacBeth in MatLab

<t>QuoteOriginally posted by: ibanalystThanks! Frankly, I have no clue why I said "Excel" when I meant MatLab... So how do I do it in MatLab? I understand it's a two-step procedure where you first get the betas and then regress asset returns on the betas...Unless I'm not understanding what you're as...
by CTD
November 5th, 2007, 11:08 pm
Forum: Technical Forum
Topic: replacement of efficient portfolio
Replies: 13
Views: 64679

replacement of efficient portfolio

<t>QuoteOriginally posted by: gustavowolfSo CTD, could you please explain what methodology is used by your company, or at least give a reference?Thanks a lot,GUstavo WolfI don't mean to be a jerk, but I doubt we'd have the track record we do if we ran around explaining our methodology to other folks...
by CTD
October 25th, 2007, 5:44 pm
Forum: Technical Forum
Topic: replacement of efficient portfolio
Replies: 13
Views: 64679

replacement of efficient portfolio

<t>QuoteOriginally posted by: Gmike2000It may be state of the art modelling to come up with something like that, but it for sure is not state of the art portfolio management.No one, repeat, NO ONE who seriously manages portfolios uses any of this stuff. Maybe maybe to confirm that the portfolio he a...
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