Selecting a Stock Market Data (Web) API: Not So Simple
I am sometimes asked if I recommend any stock market data (web) API for a personal use, especially because I mention Alpha Vantage in a couple of previous po...
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The Absorption Ratio: Measuring Financial Risk, Part 2
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
The Turbulence Index: Measuring Financial Risk
One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatilit...
Mean-Variance Optimization in Practice: Well Diversified (Near) Efficient Portfolios
One well-known stylized fact of the Markowitz’s mean-variance framework is that, irrespective of the quality of the estimates of asset returns and (co)varian...
Ulcer Performance Index Portfolio Optimization
The Ulcer Performance Index1 (UPI) is a portfolio reward-risk measure introduced by G. Martin2 similar in spirit to the Sharpe Ratio, but using the Ulcer In...