Handpicked blog posts on quantitative trading
In this short post, I will introduce the Hierarchical Risk Parity portfolio optimization algorithm, initially described by Marcos Lopez de Prado1, and recen...
Financial research has consistently shown that correlations between assets tend to increase during crises and tend to decrease during recoveries1. ...
The most common approach to measuring portfolio (risk) factor exposures is linear regression analysis, which describes the relationship between a dependent ...
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.
Crypto-assets (Bitcoin, Ethereum…) have recently been attracting the attention of more and more investors, with for example JPMorgan Chase & Co. suggesti...