Nov
18

## Week In Review 182011

**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.

**People viewing this post also viewed:**

Hot posts:

Random posts: