Probably the most popular models in modern investment management are factor models. Growing out of the Capital Asset Pricing Model … More

# Category: R

# Recession Forecasting with a Neural Net in R

I spend quite a bit of time at work trying to understand where we are in the business cycle. That … More

# How to Optimize a Goal-Based Portfolio

Traditional portfolio optimization (often called modern portfolio theory, or mean-variance optimization) balances expected portfolio return with expected portfolio variance. You … More

# How Much Can You Lose Before You’ve Lost Too Much?

I started my career in finance in 2007. For about a year I thought “this is great!” Then 2008 hit … More

# Labor Force Growth by Decade – R Code

I just posted an interesting look at the growth of the labor force by decade. Given that I used R … More

# Optimizing a portfolio in R – Monte Carlo method

I regularly use monte carlo engines to answer questions. First, they are really flexible in their ability to model non-normal … More

# PerformanceAnalytics — An Indespensible Quant Tool for any Investor

I’m in the thick of our annual portfolio investment due diligence at work. Basically, this involves surveying all the potential … More

# NNET in R — A Quick Tour & Test

I spent some time today learning the nnet package in R. nnet makes building, training, and predicting with neural nets … More