Thursday, November 17, 2011

Very Fine Work at Systematic Investor

I just wanted to quickly highlight the extremely fine work being done over at  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.


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

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