[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: efficient frontiers



PureBytes Links

Trading Reference Links

Walter,

Thanks. I will assume that you are working on a sample model which you can 
share with us "dummies" on the board. Look forward to receiving it real 
soon.

Thanks

David


From: "Walter Lake" <wlake@xxxxxxxxx>
Reply-To: metastock@xxxxxxxxxxxxx
To: <metastock@xxxxxxxxxxxxx>
Subject: Re: efficient frontiers
Date: Wed, 9 Feb 2000 14:08:43 -0500

Hi David

No problem ... most of the emails that I post on the List are answers to
emails that I receive privately. Lots goes on off the List. There are so
many people off List (for whatever reason) that I just post answers and
general info so that I know that it gets to everyone.

Some people are former List participants, others are specialists in certain
areas, others are List regulars who don't want to appear dis-loyal to
Metastock (?), others are dyed-in-the-wool Metastockers who are changing
their minds about things. ... etc. They all have their reasons and that fine
with me.

Will be glad to try your questions and make things clear.

The first problem is that I get a lot of proprietary stuff that I don't have
permission to share. Other stuff is just plain too difficult for even the
experienced XL user to adapt to their situation without knowledgeable
helpers <G>. i.e., the global investment analysis workbook, "A1Global.xls"
at

http://faculty.fuqua.duke.edu/~charvey/Teaching/BA453_1999/Global/ExcelProg.
htm

The second problem is that we're dealing with different eras. The 50's &
60's TA indicators in Metastock and Tradestation.

The 70's with random-walk models and linear models such as ARIMA (see
Kaufman's books etc. for trading ideas)

The 80's with non-linear properties in price data, autoregressive
heteroskedasticity, and models such as ARCH and GARCH.

People on the List are at different eras and often don't want to hear about
other "life" in other eras. <G> The basic software setup that I use to try
and cover all of the eras includes Metastock, Excel and Demetra.

The third problem is combining 3 different areas of analysis: technical,
statistical and quantitative analysis. Becoming knowledgeable in any one
area is hard without being generally aware of activity in all three areas.

Best regards

Walter

----- Original Message -----
From: "David Bozkurtian" <dbozkurtian@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, February 09, 2000 9:15 AM
Subject: Re: efficient frontiers


| Walter,
|
| I am interested in the subjects you are discussing, but like others don't
| have a clue as to what you are discussing. I have heard you try to explain
| in the past these space age methods, but they are too abstract.
|
| Could you possibly put together a "real" example of what you are doing
step
| by step. I'm not asking that you divulge secrets about your system, only
the
| methodology of what's involved. Maybe there is a good book that does this.
I
| am still clueless.
|
| Real numbers would help (even if the resulting system does not make
money).
| I think you know what I mean.
|
| I know that everyone is busy, but these "teaser" messages to the list
imply
| that you want others to enjoy what you are benefitting from.
|
| Thanks
|
| David
|
|
| From: "Walter Lake" <wlake@xxxxxxxxx>
| Reply-To: metastock@xxxxxxxxxxxxx
| To: "Metastock bulletin board" <metastock@xxxxxxxxxxxxx>
| Subject: efficient frontiers
| Date: Tue, 8 Feb 2000 22:47:53 -0500
|
| Hope that this helps. I never really understood this method of developing
| risk-efficient portfolios.
|
| http://www.datachimp.com/articles/risk/efficient_frontier.htm
|
| there's also a simpler and easier to understand VBA coded "Chap09 for
| Excel97.xls" which calculates efficient frontiers at
|
| http://finance.wharton.upenn.edu/~benninga/mit.html
|
| Don't forget to activate the solver.xla
|
| Best regards
|
| Walter
|
|
|
|
| ______________________________________________________
| Get Your Private, Free Email at http://www.hotmail.com
|


______________________________________________________
Get Your Private, Free Email at http://www.hotmail.com