Quant finance

A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio.  At a later date we can see if that change was [...]

On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 [...]

Only puny secrets need protection. Big discoveries are protected by public incredulity. -- Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several [...]

The minimum variance portfolios have slightly reduced correlations to assets in weight-constrained portfolios. Previously "Portfolio diversity" introduced the topic of asset-portfolio correlations. It also generated four sets of long-only [...]

Constraining the maximum asset-portfolio correlation gave bigger returns and smaller volatility. Previously "Portfolio diversity" introduced the topic of asset-portfolio correlations.  It also generated four sets of long-only random portfolios [...]

How many baskets are your eggs in? Meucci diversity Attilio Meucci directly addresses the adage: Don't put all your eggs in one basket. His idea is to think of [...]

Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution -- distributions as displayed [...]

they ought at least be allowed to state why they didn't do anything and also to explain the process by which they didn't do anything. First blush One of [...]

Factor models are heavily used in finance to create variance matrices. Here's why. Factor models: Provide non-degenerate estimates Save space Quantify sources of risk Non-degenerate estimates First off, what [...]

How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios -- [...]