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Short term replication of a Set A of assets with a set B of others Assets
Don't worry Mr Quantman, it was a kind of joke because my thread didn't seem to catch attention except for marvellous Rouletabille II..I don't make mystery of what I use now.To answer to your question I was pretty disappointed by direct regressions, (pb of colinearity, stability, ...), so you can imagine where I search next.
Last edited by mikur on November 17th, 2003, 11:00 pm, edited 1 time in total.
Short term replication of a Set A of assets with a set B of others Assets
What techniques could you use out of correlation modelling ?I don't see much of a choice outside correlation and cointegration modelling, but as I said before I'm not really aware of the techniques available in portfolio modelling to solve that kind of problem.