Value at Risk: Univariate Estimation Methods
Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity - because VaR reduces the mark...
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Supervised Portfolios: A Supervised Machine Learning Approach to Portfolio Optimization
Standard portfolio allocation algorithms like Markowitz mean-variance optimization or Choueffati diversification ratio optimization usually take in input as...
Correlation-Based Clustering: Spectral Clustering Methods
Clustering consists in trying to identify groups of “similar behavior”1 - called clusters - from a dataset, according to some chosen characteristics. An exa...
Volatility Forecasting: HExp Model
In this series on volatility forecasting, I previously detailed the Heterogeneous AutoRegressive (HAR) volatility forecasting model that has become the workh...
The Mathematics of Portfolio Return: Simple Return, Money-Weighted Return and Time-Weighted Return
Whether we manage our own investment assets or choose to hire others to manage the assets on our behalf we are keen to know how well our […] portfolio of ass...