Flirting with Models

The Research Library of Newfound Research

Month: July 2013 (Page 1 of 3)

What do your weights say about your return beliefs? (with Excel Workbook)

Here is a method to see if the implied returns on assets from strategic allocations in the mean variance optimization framework agree with your beliefs.

Anchored to the Memory of Losses

Loss aversion is a behavioral phenomenon whereby we dwell on our losses and reduce our risk. Reducing this bias can lead to better long-term outcomes.

Jumpy Models Part I: Why detecting jumps is important for asset allocation models

Detecting jumps in asset prices is important for robust parameter estimation, especially when estimating volatility.

Weekly Wrap, July 26th 2013

This weekly wrap highlights some major market events from the past week including FED policy, Japan, Eurozone debt, and low bond valuations.

The Cost of Insurance

Whipsaw in a tactical strategy can be likened to an insurance premium, which can be calculated by comparing to a similarly aimed option strategy.

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