Burns Statistics's profile

Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfolio given for the example is ever so close to the minimum variance portfolio. That is because there is a problem with the example (though it sort of doesn’t matter). It uses a risk aversion of 2.5 (which would be a risk aversion of 5 in some people’s minds). That is a moderate risk aversion. Except that the variance and the expected returns are scaled to percent. This...

(2 days ago)

Burns Statistics wrote a new blog post titled US market portrait 2013 week 20

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like

(4 days ago)

Burns Statistics wrote a new blog post titled US market portrait 2013 week 19

(11 days ago)

About:

Burns Statistics is the consulting and software vehicle for Patrick Burns.

Experience

Consulting
Patrick has over a decade of experience as a consultant in the financial and medical industries. Assignments have included analysis of equity data with R, building GARCH modules in S, tutoring S and statistics, automated trading, risk management, and evaluating the efficacy of medical devices.

Finance
In addition to his consulting experience, Patrick was an employee of Schroder Salomon Smith Barney (Citigroup) in London for four years. While there, he developed statistical models for equities -- both client-facing and proprietary. He also wrote in-house software for numerous applications including portfolio optimization and risk management.

Software Development
Patrick was a lead developer of S-PLUS in its early years. His tasks included adding functionality (such as principal components and robust estimation in several settings), finding and fixing bugs, and documentation.

You can read his blog at: http://www.portfolioprobe.com/blog

Blogs