SHARPEn your portfolio

February 7, 2020 | OSM

In our last post, we started building the intuition around constructing a reasonable portfolio to achieve an acceptable return. The hero of our story had built up a small nest egg and then decided to invest it equally across the three major asset classes: stocks, bonds, and real assets. For ...
[...Read more...]

SHARPEn your portfolio

February 7, 2020 | OSM

In our last post, we started building the intuition around constructing a reasonable portfolio to achieve an acceptable return. The hero of our story had built up a small nest egg and then decided to invest it equally across the three major asset classes: stocks, bonds, and real assets. For ...
[...Read more...]

Data re-Shaping in R and in Python

January 28, 2020 | John Mount

Nina Zumel and I have a two new tutorials on fluid data wrangling/shaping. They are written in a parallel structure, with the R version of the tutorial being almost identical to the Python version of the tutorial. This reflects our opinion on the “which is better for data science ... [...Read more...]

Portfolio starter kit

January 25, 2020 | OSM

Say you’ve built a little nest egg thanks to some discipline and frugality. And now you realize that you should probably invest that money so that you’ve got something to live off of in retirement. Or perhaps you simply want to earn a better return ...
[...Read more...]

Portfolio starter kit

January 25, 2020 | OSM

Say you’ve built a little nest egg thanks to some discipline and frugality. And now you realize that you should probably invest that money so that you’ve got something to live off of in retirement. Or perhaps you simply want to earn a better return ...
[...Read more...]

Skew who?

January 15, 2020 | OSM

In our last post on the SKEW index we looked at how good the index was in pricing two standard deviation (2SD) down moves. The answer: not very. But, we conjectured that this poor performance may be due to the fact that it is more accurate at prici...
[...Read more...]

Skew who?

January 15, 2020 | OSM

In our last post on the SKEW index we looked at how good the index was in pricing two standard deviation (2SD) down moves. The answer: not very. But, we conjectured that this poor performance may be due to the fact that it is more accurate at prici...
[...Read more...]

sklearn Pipe Step Interface for vtreat

January 14, 2020 | John Mount

We’ve been experimenting with this for a while, and the next R vtreat package will have a back-port of the Python vtreat package sklearn pipe step interface (in addition to the standard R interface). This means the user can express easily express modeling intent by choosing between coder$fit_... [...Read more...]
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