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Nov 4

Week In Review 042011

Posted by abiao at 11:40 | Review | Comments(1) | Reads(4721)
Volatility Term Structure and the Cross-Section of Option Returns: The slope of the volatility term structure strongly predicts the cross section of future option returns. Option portfolios with high slopes of the volatility term structure outperform option portfolios with low slopes of the volatility term structure by an economically and statistically significant amount.

Liquidity-Adjusted Portfolio Distribution and Liquidity Score: How to analyse the risk of a highly non-normal, multi-asset class portfolio taking into consideration of the liquidity risk? Attilio Meucci shows you how with Matlab code.

Minimizing Downside Risk: R codes for minimizing the downside risk of a portfolio.

Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life: Another wonderful book by Emanuel Derman guides you through his thoughts on why those models created by Wall Street failed, the difference between model and theory, etc. A MUST read one.

Maximizing Omega Ratio: Another post for maximizing Omega Ratio demonstrated by full R codes.

Euro bailout - an animated explanation:


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