Tag Archives: allocation

C++: Avoiding Allocation, Sharing and Minimize Locking

C++: Avoiding Allocation, Sharing and Minimize Locking

Is it worthy to investigate for benchmarking ?
http://www.codeproject.com/Articles/1130258/Cplusplus-Avoiding-Allocation-Sharing-and-Minimize

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Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

This calculation can be used to figure out your beta of returns of closing price. Do this in order:

1. Download the closing price of your stock and index( i.e. S&P 500) to calculate returns

2. Use both returns to run a regression. Use Excel Data Analysis option plugin pack.

3. Calculate your output range with a plot. You should see a regression summary once calculated

4. To interpret the graph, you will see the returns with an observed regression line. This is caclulated by ordinary least squares. If the index is your x axis while the Y axis is the stock, it measures the response against the index. THe line is the gradient of the slope which measures if < 1, the beta amount could be calculated the stock is defensive.

5. The beta value is displayed in the summary. The R^2 is tha variation in returns of the stock. Beta x amount can mean the returns of the stock can be explained by the stock market from a statistical POV.

6. P-values of the X variable which is beta. If < 0.05, it is considered statistically insignificant. The P-value lets you know the probability that the beta could be 0.

Hope this helps somewhat

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The Handbook of Portfolio Mathematics with Formulas for Optimal Allocation and Leverage

Hi there

 
This is one of those books that could be important in the future but forecasting is the critical part. Without profit, you will never have a portfolio to optimize.
The Handbook of Portfolio Mathematics with Formulas for Optimal Allocation & Leverage: I wonder what we use for Matlab and Excel?? – See more at: https://quantlabs.net/blog/2014/04/the-handbook-of-portfolio-mathematics-with-formulas-for-optimal-allocation-leverage-i-wonder-what-we-use-for-matlab-and-excel/#sthash.K5elnJWR.dpuf
Should beginners learning all this get this kind of book?
Would you buy this successful algo quant trading strategy book all in Python? Is it enough or just for beginners – See more at: https://quantlabs.net/blog/2014/04/would-you-buy-this-successful-algo-quant-trading-strategy-book-all-in-python-is-it-enough-or-just-for-beginners/#sthash.aAVFcvzG.dpuf
Or why not become a QLN Premium Member? 
Become a premium quant to learn DotNet source code and Matlab trading models – See more at: https://quantlabs.net/blog/2014/04/become-a-premium-quant-to-learn-dotnet-source-code-and-matlab-trading-models/#sthash.tnwRuNsI.dpuf
Aha he said, learn more here
Bryan
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Let’s take a look at this new look at Adaptive Asset Allocation

Let’s take a look at this new look at Adaptive Asset Allocation

A New Look At Adaptive Asset Allocation

Thanks to the NYC contact for pointing this out

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A New Look At Adaptive Asset Allocation

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Quant analytics: Robust Bayesian Allocation question

Quant analytics: Robust Bayesian Allocation question

How do I interpret the v_i — the numerator in formula (21) which calculates gamma_sigma — in the paper Robust Bayesian Allocation?

In the associated MATLAB code : http://www.mathworks.com/matlabcentral/fileexchange/31419, v_i seems to index the volatility of a particular portfolio along the efficient frontier identified by the sample covariance (ds_hat) and sample mu.

Below are the specific MATLAB code excerpts and my questions after the %:

PickVol = round( .8 * NumPortf ) % Why the arbitrary choice of .8?

v = ( ds_hat( PickVol ) ) ^ 2 % Why the use of ds_hat as opposed to use of Bayesian efficient frontier?

 

Robust Bayseian Allocation

Using the Bayesian posterior distribution of the market parameters we define self-adjusting uncertainty regions for the robust mean-variance problem. Under a…

http://www.linkedin.com/news?viewArticle=&articleID=1023358500&gid=3825142&type=member&item=87623442&articleURL=http%3A%2F%2Fpapers%2Essrn%2Ecom%2Fsol3%2Fpapers%2Ecfm%3Fabstract_id%3D681553&urlhash=DkKl&goback=%2Egde_3825142_member_87623442

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The efficient frontier (standard, Bayesian, or robust Bayesian) can be parametrized by the target volatility of the respective portfolio on the frontier, which is a free, positive parameter. That is the coefficient you see.
In the specific case, I am implementing the robust Bayesian formula (21) inhttp://www.symmys.com/node/102 but the same target appears in the standard formula (1) and in the robust formula (3)

 

 

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Good portfolio analysis package that allows you to combine several trading models and analyze different allocation/weighting schemes?

Good portfolio analysis package that allows you to combine several trading models and analyze different allocation/weighting schemes?

 

http://www.adaptrade.com/product.htm

a good place to start and not very costly.

 

Tradingblox. About $3,000 for the top of the line version.

 

Tradingblox for quant strategies, daily data is best. It’s got most money management functions prebuilt.
Only 2 drawbacks, intraday data is more difficult to use. Lack of independent professional programmers that use tb. As far as I know, Roger Rines is the only gun for hire. He’s very good. But if something happens to Roger, what do you do?

 

 

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