Thursday, November 17, 2011

Very Fine Work at Systematic Investor

I just wanted to quickly highlight the extremely fine work being done over at http://systematicinvestor.wordpress.com/.  The well documented statistical finance examples (mostly in R) are extremely helpful and stimulating.

Some of my favorites are

Black-Litterman Model

Maximizing Omega Ratio

Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR)

Be sure to check it out.

2 comments:

  1. Kent, thank you for reading and recommending my blog.

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  2. Can I take the liberty of plugging my investment analysis in Excel site? It's at http://investexcel.net. Thank you

    ReplyDelete