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 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 ...
In statistics, a bootstrap method, also called bootstrapping, is a compute-intensive procedure that allows to estimate the distribution of a statistic throu...
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...
Many different measures of portfolio diversification have been developed in the financial literature, from asset weights-based diversification measures like ...
I previously described on this blog an intuitive way of performing stress tests on a correlation matrix, which consists in shrinking a baseline correlation ...
When backtesting an investment strategy, that is, when simulating an investment strategy using historical prices to test how this strategy would have behaved...
In a previous post, I introduced near efficient portfolios, which are portfolios equivalent to mean-variance efficient portfolios in terms of risk-return bu...
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...
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatilit...
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...
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...
Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversificati...
In a previous post, I introduced the Hierarchical Risk Parity portfolio optimization algorithm1. See Lopez de Prado, M. (2016). Building dive...
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...
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...
In 2018, guys at ReSolve Asset Management published the paper Portfolio Optimization: A General Framework for Portfolio Choice in which they describe
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...
In this post, I will show you how to integrate the Portfolio Optimizer Web API in Excel.
As an investor, have you ever wondered how to convert an optimal portfolio1, possibly made of real-valued weights with dozens of decimals (e.g., 12.3456789%)...
In this post, I will show how to integrate the Portfolio Optimizer Web API in a web page.
In this post, I will show you how to integrate the Portfolio Optimizer Web API in Google Sheets.