Residualization of Risk Factors: Examples and Pitfalls
The most common approach to measuring portfolio (risk) factor exposures is linear regression analysis, which describes the relationship between a dependent ...
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Replicating the J.P. Morgan Efficiente Index
The J.P. Morgan Efficiente 5 Index is a tactical asset allocation strategy designed by J.P. Morgan based on a broad universe of 13 ETFs. This post will illu...
Crypto-assets portfolio optimization and trade order creation with Google Sheets
Crypto-assets (Bitcoin, Ethereum…) have recently been attracting the attention of more and more investors, with for example JPMorgan Chase & Co. suggesti...
When a Correlation Matrix is not a Correlation Matrix: The Nearest Correlation Matrix Problem
Estimating how individual assets are moving together is an important part of many financial applications1 and the most commonly used measure for this is the...
The Portfolio Optimization Machine
In 2018, guys at ReSolve Asset Management published the paper Portfolio Optimization: A General Framework for Portfolio Choice in which they describe a s...