{"id":9693,"date":"2012-12-31T11:12:42","date_gmt":"2012-12-31T11:12:42","guid":{"rendered":"https:\/\/www.portfolioprobe.com\/?p=9693"},"modified":"2012-12-31T11:12:42","modified_gmt":"2012-12-31T11:12:42","slug":"blog-year-2012-in-review","status":"publish","type":"post","link":"https:\/\/www.portfolioprobe.com\/2012\/12\/31\/blog-year-2012-in-review\/","title":{"rendered":"Blog year 2012 in review"},"content":{"rendered":"

Highlights of the blog over the past year.<\/p>\n

Most popular posts<\/h2>\n

The posts with the most hits during the year.<\/p>\n

    \n
  1. The top 7 portfolio optimization problems<\/a><\/li>\n
  2. A tale of two returns<\/a> (posted in 2010)<\/li>\n
  3. A practical introduction to garch modeling<\/a><\/li>\n
  4. A look at Bayesian statistics<\/a><\/li>\n
  5. A comparison of some heuristic optimization methods<\/a><\/li>\n
  6. The distribution of financial returns made simple<\/a><\/li>\n
  7. The number 1 novice quant mistake<\/a> (posted in 2011)<\/li>\n
  8. Market predictions for years 2011 and 2012<\/a><\/li>\n
  9. What the hell is a variance matrix?<\/a> (posted in 2010)<\/li>\n
  10. The BurStFin R package<\/a><\/li>\n
  11. Beta is not volatility<\/a><\/li>\n
  12. Review of \u201cModels. Behaving. Badly.\u201d by Emanuel Derman<\/a><\/li>\n
  13. The mystery of volatility estimates from daily versus monthly returns<\/a> (posted in 2011)<\/li>\n
  14. A slice of S&P 500 skewness history<\/a><\/li>\n
  15. What does \u2018passive investing\u2019 really mean<\/a><\/li>\n
  16. The quality of variance matrix estimation<\/a><\/li>\n
  17. Highlights of R in Finance 2012<\/a><\/li>\n<\/ol>\n

    Most under-valued posts<\/h2>\n

    \"origin_financial_crises\"<\/a><\/p>\n

    There is probably no other thing I saw in 2012 with more power to improve the world than The Origin of Financial Crises<\/em> by George Cooper<\/a>. This explains why central banks are a necessary evil, and how they are currently more focused on the evil than the necessary.<\/p>\n

    My second nomination for under-valued is the post that explains several ways that random portfolios can change fund management for the better<\/a>.<\/p>\n

    Finally there’s the post that proposes a simple thing that would improve the prospects of prospective fund managers<\/a>.<\/p>\n

    Book reviews<\/h2>\n

    Table 1 summarizes (and has links to) the reviews of books during the year.<\/p>\n

    Table 1: Recommendations of reviewed books.<\/p>\n\n\n\n\n\n\n\n\n\n
    title<\/strong><\/td>\nauthor<\/strong><\/td>\nrecommended<\/strong><\/td>\n<\/tr>\n
    Tao Te Programming<\/em><\/a><\/td>\nPatrick Burns<\/td>\nhave a guess<\/td>\n<\/tr>\n
    The Origin of Financial Crises<\/em><\/a><\/td>\nGeorge Cooper<\/td>\nhighly<\/td>\n<\/tr>\n
    Models. Behaving. Badly.<\/em><\/a><\/td>\nEmanuel Derman<\/td>\nyes<\/td>\n<\/tr>\n
    R For Dummies<\/em><\/a><\/td>\nAndrie de Vries, Joris Meys<\/td>\nhighly<\/td>\n<\/tr>\n
    Numerical Methods and Optimization in Finance<\/em><\/a><\/td>\nManfred Gilli, Dietmar Maringer, Enrico Schumann<\/td>\nyes<\/td>\n<\/tr>\n
    Programming Graphical User Interfaces in R<\/em><\/a><\/td>\nMichael Lawrence, John Verzani<\/td>\nfor some<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

    \"9781119962847<\/a><\/p>\n

    There was not only a review of R For Dummies<\/em><\/a> but also a set of annotations<\/a> for it.<\/p>\n

    Fund management<\/h2>\n

    There was something possibly informative on portfolio diversity<\/a> as well as some other attempts<\/a>.<\/p>\n

    Thinking beyond indices<\/a> was urged, which prompted the market portraits<\/a>.\u00a0 Random portfolios can encourage the expanded viewpoint as well as improve fund management in other ways<\/a>.\u00a0 There was also a report on a debate about fundamental indices<\/a>.<\/p>\n

    Low volatility<\/a> appeared a number of times.<\/p>\n

    Other posts included:<\/p>\n