Tag Archives: equity index

S&P that might have been

The S&P 500 returned 29.6% in 2013.  How might that have varied? S&P weights There are many features that could vary — here we will keep the same constituents (almost) and weights with similar sizes but that are randomly assigned rather than based on market capitalization. That is, we want the large weights of our … Continue reading

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Some new ideas in financial mathematics

Financial mathematicians have built an increasingly elaborate structure around the idea of “the market” …  In this article, I intend to challenge some of these foundational concepts with the intention of destabilizing the intellectual structure that has been erected on top of them and to demonstrate how a randomly generated portfolio can beat “the market,” … Continue reading

Posted in Quant finance, Random portfolios | Tagged , | 2 Comments