Handpicked blog posts on quantitative trading
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...
In the previous post of this series on covariance matrix forecasting, I reviewed both the simple and the exponentially weighted moving average covariance mat...
In the initial post of the series on volatility forecasting, I described the simple and the exponentially weighted moving average forecasting models, that a...
Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leadi...
Among the different members of the family of volatility forecasting models by weighted moving average1 like the simple and the exponentially weighted moving...