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Nov 18

Week In Review 182011

Posted by abiao at 11:13 | Review | Comments(0) | Reads(4969)
Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios: we know mean-variance portfolio highly depends on the input of expected return and covariance matrix, a post demonstrates with full R codes two common techniques to make portfolios in the mean-variance efficient frontier more diversified and immune to small changes in the input assumptions.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness: is option-implied information useful for improving the out-of-sample performance of a mean-variance efficient equity portfolio? this paper tells you an answer.

SDE Matlab Toolbox: a nice Matlab toolbox for simulation and estimation of stochastic differential equations, it supports both univariate and multivariate SDEs.

Black-Litterman Model: Black-Litterman model is used to overcome a few shortcomings of Markowitz efficient frontier method, here is a post with full R codes demonstrating how to implement Black-Litterman model.

Using Neural Network For Regression: compare the performance of Artificial Neural Network (ANN) and OLS for a simple linear regression. Not surprisingly, ANN wins.

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