Residualization of Risk Factors: Examples and Pitfalls
The most common approach to measuring portfolio (risk) factor exposures is linear regression analysis, which describes the relationship between a dependent ...
Posts by Tag
- google-sheets 4
- portfolio optimization 3
- tactical asset allocation 2
- correlation matrix 2
- web page 1
- investable portfolio 1
- excel 1
- random portfolio 1
- crypto-assets 1
- factor analysis 1
google-sheets
Replicating the J.P. Morgan Efficiente Index
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 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...
Integration in Google Sheets
In this post, I will show you how to integrate the Portfolio Optimizer Web API in Google Sheets.
portfolio optimization
Beyond Hierarchical Risk Parity: Hierarchical Clustering-Based Risk Parity
In a previous post, I introduced the Hierarchical Risk Parity portfolio optimization algorithm1. See Lopez de Prado, M. (2016). Building dive...
Hierarchical Risk Parity: Introducing Graph Theory and Machine Learning in Portfolio Optimizer
In this short post, I will introduce the Hierarchical Risk Parity portfolio optimization algorithm, initially described by Marcos Lopez de Prado1, and recen...
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
tactical asset allocation
Replicating the J.P. Morgan Efficiente Index
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.
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...
correlation matrix
Correlation Matrix Stress Testing: Shrinkage Toward an Equicorrelation Matrix
Financial research has consistently shown that correlations between assets tend to increase during crises and tend to decrease during recoveries1. ...
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...
web page
Integration in a web page
In this post, I will show how to integrate the Portfolio Optimizer Web API in a web page.
investable portfolio
Implementing an investable portfolio from an optimal portfolio
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%)...
excel
Integration in Excel
In this post, I will show you how to integrate the Portfolio Optimizer Web API in Excel.
random portfolio
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...
crypto-assets
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...
factor analysis
Residualization of Risk Factors: Examples and Pitfalls
The most common approach to measuring portfolio (risk) factor exposures is linear regression analysis, which describes the relationship between a dependent ...