Random Portfolio Benchmarking: Simulation-based Performance Evaluation in Finance
As noted in Surz1, the question “Is [a mutual fund’s]2 performance good?” can only be answered relative to something1, typically by comparing that fund to a ...
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Sparse Index Tracking: Limiting the Number of Assets in an Index Tracking Portfolio
In the previous post, I introduced the index tracking problem1, which consists in finding a portfolio that tracks as closely as possible2 a given financial ...
Beyond Modified Value-at-Risk: Application of Gaussian Mixtures to the Computation of Value-at-Risk
In a previous post, I described a parametric approach to computing Value-at-Risk (VaR) - called modified VaR12 - that adjusts Gaussian VaR for asymmetry and...
Index Tracking: Reproducing the Performance of a Financial Market Index (and more)
An index tracking portfolio1 is a portfolio designed to track as closely2 as possible a financial market index when its exact replication3 is either impracti...
Volatility Forecasting: Simple and Exponentially Weighted Moving Average Models
One of the simplest and most pragmatic approach to volatility forecasting is to model the volatility of an asset as a weighted moving average of its past sq...