June 25, 2012
June has been a good month for releases of Portfolio Probe and a bad month for disseminating the blog. Version 1.05 This is a minor release, primarily to fix [...]
May 15, 2012
There have been some issues with the sign-up process for the Portfolio Probe newsletter and the Portfolio Probe user's list. The issues may or may not be in the [...]
March 28, 2012
How much turnover is required to get portfolios back to their constraints? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios as of 2007 and [...]
October 13, 2011
A different sort of generalization of variance partitions. Previously The post "Generalizing risk fractions" described additional (to version 1.04 of Portfolio Probe) ways of dividing the variance among the [...]
October 10, 2011
More ways of constraining the variance attributable to individual assets. Introduction This post describes some additions to the 1.04 version of Portfolio Probe. A beta of that version was [...]
July 13, 2011
In which random portfolios are used as the vehicle for portfolio optimization. The paper The author is William Shaw. The paper goes by the succinct title of "Portfolio Optimization [...]