What are the research questions?

In spite of several efforts by researchers to overcome the estimation-risk problem (the use of estimate inputs based on sample information as if they were representative of the true population) which produces the so-called “wacky weights”, DeMiguel, Garlappi and Uppal (2009) present striking evidence that favors a simple 1/N naıve portfolio strategy.

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In a final round of predictions, forecasters raised expectations for today’s preliminary estimate of second quarter GDP growth.

The Atlanta Fed’s GDPNow model posted a final upside revision to 2.8% from 2.5% in yesterday’s revision.

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Between 1978 and 2015, China moved being from a poor, underdeveloped country to the world’s leading emerging economy. The national wealth-income ratio increased from 350% in 1978 to 700% in 2015, driven mainly by the increase of private wealth.

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Estimates for next week’s “advance” report on GDP growth for the second quarter continue to point to a rebound after Q1’s sluggish pace, but the outlook has been revised down in recent weeks. That’s an encouraging improvement over the 1.4% rise in Q1, but the Journal’s current projection has fallen from previous Q2 estimates.

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Demographic factors like slowing population and labor force growth, along with a global productivity slowdown, are fundamentally redefining achievable economic growth. Demographic factors like slowing population and labor force growth and a global productivity slowdown are fundamentally redefining what is achievable and creating a new set of economic challenges.

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The expected risk premium for the Global Market Index (GMI) continued to rise in June. The basic idea is to reverse engineer expected return based on assumptions about risk.

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Density estimation using regression? This post is about density estimation, and how to get an estimate of the density using (Poisson) regression.

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The ability to pay for health-care needs is — and will remain — one of the most critical issues of retirement. It might seem odd to talk about retirement travel plans during a conversation about health care, but your ability to pay for necessities such as doctors' visits and prescriptions is directly correlated to your efforts to plan, save and budget for the retirement you want.

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The projected risk premium for the Global Market Index (GMI) ticked higher in May. The projected premium for each asset class is calculated as the product of the three inputs above.

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Value at risk or VaR is a widely used risk metric in the financial industry for quantifying the expected capital loss one should realize for a portfolio on the worst of 20 days (in the 95% VaR case) or the worst in 100 days (in the 99% VaR case).

We will only consider this function for positive values.

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Here it goes, finally a strategy backtest (sort of) on this blog (what an intro).

In their 1973 paper “Risk, Return and Equilibrium: Empirical Tests”, Fama and MacBeth introduce a method for estimating betas and risk premia for any risk factors that determine asset prices.

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Shrinkage in statistics has increased in popularity over the decades. Now statistical shrinkage is commonplace, explicitly or implicitly.

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The expected risk premium for the Global Market Index (GMI) fell in April, marking the first decline since last August. GMI, an unmanaged market-value weighted mix of the major asset classes, is projected to earn an annualized 5.2% (over the “risk-free” rate) in the long run – 20 basis points lower vs. last month’s estimate.

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The probability that a recession has started is virtually nil at the moment, but it’s debatable if low macro risk will deliver robust growth in the preliminary estimate of first-quarter US GDP release that’s due on Friday. On the low end of the spectrum is a 0.5% estimate for Q1 output via the Atlanta Fed’s GDPNow model (as of Apr.

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Just like stocks, bonds, sectors, countries, or any other financial instrument, equity factors and the strategies based on them can become cheap or expensive. We measure relative valuations of the strategy vs the market benchmark to estimate how cheap or expensive a strategy is.

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The Form 8-K is a document that the Securities and Exchange Commission requires publicly-held entities to file whenever there are significant changes impacting the entity.

A “material definitive agreement” means an agreement that provides for obligations that are material to and enforceable against the company, or rights that are material to the company and enforceable by the company against one or more other parties to the agreement.

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The expected risk premium for the Global Market Index (GMI) continued to rise in March. GMI, an unmanaged market-value weighted mix of the major asset classes, is projected to earn an annualized 5.4% (over the “risk-free” rate) in the long run – 50 basis points above last month’s estimate.

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The Bureau of Labor Statistics (BLS) released the latest state and local employment data on March 13, 2017. This isn’t the first time large revisions have occurred in St. Louis: Last year, BLS revisions to St. Louis employment added 6,800 jobs.

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