Patrick Bezzina

3 Questions 4 Answers 0 Followers

Questions related from Patrick Bezzina

What's the best way to augment a univariate stationary time series such as stock returns ?

My use case is I have a dataset consisting of stock returns of S&P 500 Index stocks over a period and I also have the Index returns over the same period. The problem is a regression problem...

03 October 2020 1,554 3 View

How do I perform statistical significance testing on Sharpe Ratios?

I have a set of Sharpe Ratios collected from various models and I would like to check whether these are statistically significantly different from each other. Have seen that many research papers...

18 March 2020 2,450 4 View

How can I solve the cardinality constrained portfolio optimization problem using Particle Swarm Optimization (PSO)?

I have a universe of N assets from which I need to optimally find the weights of (pre-set) K assets which produce the best Sharpe Ratio (fitness function). Any links/references to research papers...

18 March 2020 9,963 2 View