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...
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When a correlation matrix is not a correlation matrix, let’s compute the nearest correlation matrix
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
Random portfolios as benchmarks for tactical asset allocation strategies
If you are familiar with tactical asset allocation (TAA) strategies, like the Global Equities Momentum (GEM) TAA strategy of Gary Antonacci, you know how har...
Integration in Excel
In this post, I will show you how to integrate the Portfolio Optimizer Web API in Excel.