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
Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR)
Be sure to check it out.
Kent, thank you for reading and recommending my blog.
ReplyDeleteCan I take the liberty of plugging my investment analysis in Excel site? It's at http://investexcel.net. Thank you
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