Mean-Variance Optimization in Practice: Well Diversified (Near) Efficient Portfolios
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...
Posts by Tag
- portfolio optimization 5
- google-sheets 4
- correlation matrix 3
- covariance matrix 3
- systemic risk 3
- tactical asset allocation 2
- principal component analysis 2
- web page 1
- investable portfolio 1
- excel 1
- random portfolio 1
- crypto-assets 1
- factor analysis 1
- mean-variance 1
- turbulence index 1
- absorption ratio 1
- stock market data web api 1
portfolio optimization
Ulcer Performance Index Portfolio Optimization
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...
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
google-sheets
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 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.
correlation matrix
The Matrix Effective Rank: Measuring the Dimensionality of a Universe of Assets
Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversificati...
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: the Nearest Correlation Matrix Problem
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...
covariance matrix
The Absorption Ratio: Measuring Financial Risk, Part 2
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
The Turbulence Index: Measuring Financial Risk
One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatilit...
The Matrix Effective Rank: Measuring the Dimensionality of a Universe of Assets
Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversificati...
systemic risk
The Absorption Ratio: Measuring Financial Risk, Part 2
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
The Turbulence Index: Measuring Financial Risk
One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatilit...
The Matrix Effective Rank: Measuring the Dimensionality of a Universe of Assets
Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversificati...
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...
principal component analysis
The Absorption Ratio: Measuring Financial Risk, Part 2
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
The Matrix Effective Rank: Measuring the Dimensionality of a Universe of Assets
Quantifying how diversified is a universe of assets is an open problem in quantitative finance, partly because there is no definite formula for diversificati...
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 ...
mean-variance
Mean-Variance Optimization in Practice: Well Diversified (Near) Efficient Portfolios
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...
turbulence index
The Turbulence Index: Measuring Financial Risk
One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatilit...
absorption ratio
The Absorption Ratio: Measuring Financial Risk, Part 2
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...
stock market data web api
Selecting a Stock Market Data (Web) API: Not So Simple
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...