Posts by Tag

portfolio optimization

The Portfolio Optimization Machine

less than 1 minute read

In 2018, guys at ReSolve Asset Management published the paper Portfolio Optimization: A General Framework for Portfolio Choice in which they describe a s...

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correlation matrix

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covariance matrix

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systemic risk

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google-sheets

Integration in Google Sheets

less than 1 minute read

In this post, I will show you how to integrate the Portfolio Optimizer Web API in Google Sheets. As a working example, I will display the mean-variance mini...

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mean-variance

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hierarchical clustering

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principal component analysis

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turbulence index

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monte carlo simulation

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volatility

Volatility Forecasting: GARCH(1,1) Model

8 minute read

In the previous post of this series on volatility forecasting, I described the simple and the exponentially weighted moving average volatility forecasting m...

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mutual funds

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tactical asset allocation

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adjusted prices

Adjusted Prices Without Look-Ahead Bias

3 minute read

When backtesting an investment strategy, that is, when simulating an investment strategy using historical prices to test how this strategy would have behaved...

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bootstrap

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monte carlo

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sharpe ratio

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probabilistic sharpe ratio

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portfolio analysis

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gaussian mixture model

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value at risk

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index tracking

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web page

Integration in a Web Page

1 minute read

In this post, I will show how to integrate the Portfolio Optimizer Web API in a web page. As a working example, I will display the mean-variance minimum var...

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investable portfolio

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excel

Integration in Excel

1 minute read

In this post, I will show you how to integrate the Portfolio Optimizer Web API in Excel. As a working example, I will display the assets weights $(w_1, w_2)...

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crypto-assets

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factor analysis

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absorption ratio

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stock market data web api

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maximum drawdown

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brownian motion

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hierarchical risk parity

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most diversified portfolio

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diversification ratio

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bonds

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etfs

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modified value at risk

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gaussian value at risk

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cornish-fisher

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gerber statistic

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multivariate gaussian distribution

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random orthogonal matrices

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missing asset returns

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random portfolio

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hedge funds

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risk parity

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clustering

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moment-matching

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