Handpicked blog posts on quantitative trading
The NAAIM Exposure Index represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment Manag...
The fact that mean-variance optimizers are highly sensitive to changes in expected returns […] is well known in investment practice1, with a couple of practi...
In the previous post of this series on measuring financial risk, I described the absorption ratio, a measure of financial market fragility based on principa...
In a previous article, I described several classical bootstrap techniques — i.i.d. bootstrap, circular block bootstrap, and stationary block bootstrap — and ...
The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists...