Dude, you are parsing it wrong: It's (proprietary capital) (management arbitrage) => (spending his own money) (giving himself a cool...
Shrug... when bother unless there's some higher order structure in the returns that you want to simulate? Otherwise, it's the same as calculating...
The identical part is part of the classical CLT (http://en.wikipedia.org/wiki/Central_limit_theorem#Classical_CLT). Like the other fella said,...
True - there are many relaxed versions of CLT - even when there's weak dependence in the observations... In any case, CLT also makes a...
:) Good luck with the computations. Don't be so frugal to think in terms of combinations (ie, pls sir - how many systems can I have out of n?),...
You sure about that? CLT requires the observations are independent and identically distributed. To clarify: independent means there can't...
Why not just rank using the sharpe ratio? The efficient frontier is non-linear in risk/return space afterall - why do you need to linearize it?...
spoken like a true farmer the world over....
No, it doesn't..... please reread the requirements for CLT
I'm not really sure what you mean by 'linear' here. Sharpe ratio is by definition non-linear to scalar multiplications to returns - which I think...
Well... that wasn't the question you asked. But in response to this new scenario, you can consider using conditional mean (that is, average only...
The problem with your approach is that you are using a guassian normal approximation for returns that are clearly (by construction) not normal....
The easiest (and most naive way) to do it is just with conditional probability. For system 1: prob(t=6, pnl>+10|t=1...5) = 4/5 For system 2:...
Did you pay tax on your GE dividend and capital gains? You did. What's the problem.
Is that the fella who actually has webpages where he purports to be a registered investment advisor? .... (nevermind one can check such things...
You can have a two sample t-test too... for two t-distributions. Or more sophisticated tests (including K-S) for t vs norm, but the problem is,...
http://covestor.com/kc-capital-management Beau - is this your outfit? If so, are you really a " a registered investment advisor"? with...
... this is.... um.... nonsense root in ignorance of what a probability actually is. In any case, much like his earlier comment about water,...
I would argue it's more difficult since your have to match ALL the moments of the distributions rather some parameters? For example, can you...
Banks/hedge funds do not typically license trading systems.
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