This is a summary of links featured on Quantocracy on Sunday, 02/04/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replacing the 40, in R [Babbage9010]Elliot Rozner published a blog post recently proposing that one could replace the 40% bond portion of a 60/40 portfolio with a Long/Short equity trend following strategy. Here well put that idea (and his suggested approach) into R using quantmod and examine the components, and finally suggest a free-lunch tweak to improve the risk-adjusted returns further. Perhaps Im being a little flip
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Overcoming experimenter bias in scientific research and finance [Mathematical Investor]Reproducibility has emerged as a major issue in numerous fields of scientific research, ranging from psychology, sociology, economics and finance to biomedicine, scientific computing and physics. Many of these difficulties arise from experimenter bias (also known as selection bias): consciously or unconsciously excluding, ignoring or adjusting certain data that do not seem to be in agreement