# Posts by Tag

## 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 ...

## 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 (Bitcoin, Ethereum…) have recently been attracting the attention of more and more investors, with for example JPMorgan Chase & Co. suggesti...

In this post, I will show you how to integrate the Portfolio Optimizer Web API in Google Sheets.

## 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

## 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 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...

## Integration in a web page

In this post, I will show how to integrate the Portfolio Optimizer Web API in a web page.

## 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%)...

## Integration in Excel

In this post, I will show you how to integrate the Portfolio Optimizer Web API in Excel.

## 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 (Bitcoin, Ethereum…) have recently been attracting the attention of more and more investors, with for example JPMorgan Chase & Co. suggesti...