A possible way to search for constraints that improve optimization. The perspective The usual way of thinking about portfolio optimization is to first consider the utility and then restrict [...]

Two recent posts included the word "news", but in different senses. Events "News" in the sense of reports on events was discussed in "News analytics".  We can think of [...]

Do non-trading days explain the mystery of volatility estimation? Previously The post "The volatility mystery continues" showed that volatility estimated with daily data tends to be larger (in recent [...]