Tag Archives: efficient frontier
Realized efficient frontiers
A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant. I’ve made fun of it before. This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500. The predictions are made using data from … Continue reading
Posted in Quant finance, R language
Tagged efficient frontier, Ledoit-Wolf shrinkage, MACD, S&P 500
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Anomalies meet volatility
Isn’t the horse facing the cart? “A New Look At Minimum Variance Investing” by Bernd Scherer (SSRN version) looks at a few aspects of minimum variance portfolios. We’ve been in this neighborhood before with The volatility puzzle solved? This post contains some comments on Bernd’s paper. Efficient frontiers My first concern with the paper is … Continue reading
