Profile cover photo
Profile photo
Rob Carver
48 followers
48 followers
About
Posts

Post has attachment
Add a comment...

Post has attachment
Vol Targeting and Trend Following
I was moved to write this by a post on LinkedIn , which you can find here, and which is worth quoting (and thanks to Helder Palaro for pointing me at this): " Volatility tends to “cluster”. Recent high(low) volatility is followed by high(low) volatility in...
Add a comment...

Post has attachment
Kelly versus Classical portfolio theory, and the two kinds of uncertainty premium
Since I was a young lad there has been an ongoing fight in Financial Academia 'n' Industry between two opposing camps: In the red corner are the Utilitarians. The people of classical finance, of efficient frontiers, of optimising for maximum return at some ...
Add a comment...

Post has attachment
Add a comment...

Post has attachment
Kelly versus Classical portfolio theory, and the two kinds of uncertainty premium
Since I was a young lad there has been an ongoing fight in Financial Academia 'n' Industry between two opposing camps: In the red corner are the Utilitarians. The people of classical finance, of efficient frontiers, of optimising for maximum return at some ...
Add a comment...

Post has attachment
Add a comment...

Post has attachment
Trading performance - year four
Time flies, and it's time for another annual update on the performance of my own investment and trading. Previous updates can be found here , here and here . These updates follow the UK tax year; from 6th April to 5th April, as I have to do my taxes anyway ...
Add a comment...

Post has attachment
Add a comment...

Post has attachment
CTA allocations, QE, meta-prediction, and conditional return distributions
As most of you know my last proper job ( part time  lecturing and occasional consulting gigs do not count) was managing the fixed income portfolio for AHL , a large systematic hedge fund. I had the pleasure of that job from late 2010 until mid 2013. It's fa...
Add a comment...

Post has attachment
pysystemtrade - github lfs and a request for help
Very quickly; I've moved the .csv data files in pysystemtrade into a seperate /data/ directory and also added them to github LFS . Which will probably mean you will need to download LFS. I've done this because I plan to start adding futures contract level d...
Add a comment...
Wait while more posts are being loaded