This is a summary of links featured on Quantocracy on Friday, 01/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Beat the Market with Meucci and Markowitz [Propfolio Management]I am very excited to finally share some of my research exploring Meuccis (Meucci (2005)) portfolio optimization methods, and how the resulting portfolios compare to the use of historical data. For those unfamiliar with Attilio Meucci, he runs an annual Advanced Risk and Portfolio Managment Bootcamp in New York City every summer. The bootcamp attracts academics and professionals within the
Writing Puts, Or Just Pretending To [Throwing Good Money]Which color do you like better? Green or brown? Im partial to the green curve myself. That green curve comes from writing putssort of. Writing puts can be a lower volatility play that makes you money in choppy or flat markets, falls more softly in down markets, and seriously under-performs when the market goes on a tear upward. Whats a put and where do you put them? If youre an