Correlation Matrices Denoising: Results from Random Matrix Theory
The estimation of empirical correlation matrices in finance is known to be affected by noise, in the form of measurement error, due in part to the short leng...
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The Probabilistic Sharpe Ratio: Hypothesis Testing and Minimum Track Record Length for the Difference of Sharpe Ratios
In the first post of this series about the Sharpe ratio considered as a statistical estimator, I introduced a probabilistic framework to answer the question...
The Probabilistic Sharpe Ratio: Bias-Adjustment, Confidence Intervals, Hypothesis Testing and Minimum Track Record Length
The Sharpe ratio1 is one of the most commonly used measure of financial portfolio performance, but because it is deeply rooted in mean-variance theory, its ...
Bootstrap Simulation with Portfolio Optimizer: Usage for Financial Planning
In statistics, a bootstrap method, also called bootstrapping, is a compute-intensive procedure that allows to estimate the distribution of a statistic throu...
Computation of Theory-Implied Correlation Matrices: Overview and Example
In this short post, I will provide an overview of the TIC algorithm1 introduced by Marcos Lopez de Prado in his paper Estimation of Theory-Implied Correlatio...