[R-SIG-Finance] semi variance
bbands at gmail.com
Thu Dec 28 16:36:27 CET 2006
On 12/27/06, Brian G. Peterson <brian at braverock.com> wrote:
> We implemented semideviation and downside deviation here:
Yes, I saw that package. Very useful. Thank you.
> But perhaps you could be a bit more specific
> about what you're looking for?
OK. I first tackled this general area 10 years ago when I created
www.EquityTrader.com, which presents positive and negative alphas and
betas, a very popular feature. While doing some recent portfolio work
I revisited my "semi" alpha and betas and considered some related
ideas. The "semis" seem to have become popular, so I thought I'd ask
this august group if anybody was doing anything "interesting" with
John Bollinger, CFA, CMT
If you advance far enough, you arrive at the beginning.
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