Risk-constrained optimization

February 5, 2021 | OSM

Our last post parsed portfolio optimization outputs and examined some of the nuances around the efficient frontier. We noted that when you start building portfolios with a large number of assets, brute force simulation can miss the optimal weighting scheme for a given return or risk profile. While optimization finds ...
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How a File Format Exposed a Crossword Scandal

February 2, 2021 | Paul van der Laken

Vincent Warmerdam shared this Youtube video which I thoroughly enjoyed watched. It’s about Saul Pwanson, a software engineer whose hobby project got a little out of hand. In 2016, Saul Pwanson designed a plain-text file format for crossword puzzle data, and then spent a couple of months building a micro-data-pipeline, ...
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Parsing portfolio optimization

January 31, 2021 | OSM

Our last few posts on risk factor models haven’t discussed how we might use such a model in the portfolio optimization process. Indeed, although we’ve touched on mean-variance optimization, efficient frontiers, and maximum Sharpe ratios in this portfolio series, we haven’t discussed portfolio optimization and its outputs ...
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