[R-sig-Finance] Confidence intervals for spread returns
David Kane
dave at kanecap.com
Wed Jun 28 17:59:40 CEST 2006
Thanks for these comments. I agree with most of what you say.
Vivek Satsangi writes:
> Now, I know that you did not ask about either of the above things in
> your original question. But I am trying to assert that the user of the
> information may rely on the confidence interval entirely too much
> given the HUGE potential for errors. Somehow, that fact should be
> conveyed.
I agree. But a simple R package can only prevent stupid users from
hurting themselves to a certain degree. Is the best answer to report
nothing? To report infinite confidence intervals?
I agree that there is no clear correct answer. But what answer would
you like to see in the package?
> I just got done reading the Edward Tufte books again, and I think it
> might be a better goal for your (I should say "our", since I have been
> meaning to get involved since recovering from my illness) project
> would be create a dasboad view of the performance of the portfolio
> simulation, rather than reducing it to a single number or tuple.
> People will still tend to compare the summary statistics, but atleast
> we would not be guilty of reporting the statitic in a way that hides
> "the truth".
That sounds interesting. If you have the time, please take a look at
the code. We are eager for all suggestions/contributions.
Dave Kane
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