Blog Archives

Style for short reports

Another memo for myself. Go for less than 750 words in shorter reports. Here pdf version. Concise but interesting title of shorter report Rodolfo Vanzini 18 maggio 2017 If to Starbuck the apparition of the Squid was a thing of portents, to Queequeg it was quite a different object. “When you

Read More…

Share Button
Posted in R-stats, Whitepapers

Style for reports

A memo for myself: aim for max 1,500 words (fewer is better, though). Download pdf version here. Concise but interesting title Rodolfo Vanzini 18 maggio 2017 If to Starbuck the apparition of the Squid was a thing of portents, to Queequeg it was quite a different object. “When you see him

Read More…

Share Button
Posted in R-stats, Whitepapers

R code risk classification procedures: a tutorial

Fans of risk classification procedures will find this draft containing a basic – though A-to-Z complete – tutorial on how to use R for credit management useful at worst. This preliminary version of a fully fledged publication (article or book is still to be determined) contains all the relevant R

Read More…

Share Button
Posted in Economics, R-stats, Whitepapers
Tags: , ,

R tutorial on LDA for credit risk classifier

Feel free to download from here my introductory, and very simple, R tutorial on LDA in credit risk classification. Download the tutorial

Share Button
Posted in R-stats, Whitepapers
Tags: , ,

MICERs on the storm

Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent investors’ trading choices to hold securities according to their preferences in terms of expected risk and return. If investors seek to maximize their utility in holding portfolios and do hold their desired

Read More…

Share Button
Posted in Economics, R-stats, Whitepapers
Tags: , , ,

EFPA EFA score: Bayes’ prediction power (Italian)

La stima dei parametri di input nel modello media-varianza è uno dei punti cruciali di difficoltà con cui si cimentano gli investitori che intendano aggiungere rigore oggettivo e allo stesso tempo sottrarre distorsione soggettiva al problema fondamentale delle scelte di portafoglio. La stima della probabilità che un evento si veri fichi condizionata a

Read More…

Share Button
Posted in Economics, Whitepapers
Tags: , ,

Decision making under uncertainty: Bayesian inference

Individuals make decisions using biased tools. Citing Kahneman and Tverski we can say that many decisions are based on beliefs concerning the likelihood of uncertain events such as the outcome of an election, [. . . ], the future value of the dollar. These beliefs are usually expressed in statements such as I think

Read More…

Share Button
Posted in Economics, Whitepapers
Tags:

Black-Litterman: a soft introduction

The Black-Litterman (BL) model considers explicitly that investors do express their own views about risky asset returns by collectively holding the market portfolio according to their market capitalizations. An active investment manager aiming at beating the market often implements her own views tilting the portfolio weights towards over or under performing assets according to rules

Read More…

Share Button
Posted in Economics, Whitepapers
Tags: , , , ,

Tweets