How well do asset weight constraints constrain risk? The setup In "Unproxying weight constraints" I claimed that many constraints on asset weights are really a proxy for constraining risk. [...]

Overfitting is a problem when trying to predict financial returns.  Perhaps you've heard that before.  Some simple examples should clarify what overfitting is -- and may surprise you. Polynomials [...]

In "What the hell is a variance matrix?" I talked about the basics of variance matrices and highlighted challenges for estimating them in finance.  Here we look more deeply [...]