This is a summary of links featured on Quantocracy on Tuesday, 01/19/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Keller’s Resilient Asset Allocation [Allocate Smartly]This is a test of the latest tactical strategy from Dr. Wouter Keller: Resilient Asset Allocation (RAA). RAA is intended to be a low turnover strategy, only shifting from a balanced risk portfolio to a defensive portfolio during the most potentially bearish of times. Backtested results from 1970 follow. Results are net of transaction costs (see backtest assumptions). Learn about what we do and
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Extracting Interest Rate Bounds from Option Prices [Sitmo]In this post we describe a nice algorithm for computing implied interest rates upper- and lower-bounds from European option quotes. These bounds tell you what the highest and lowest effective interest rates are that you can get by depositing or borrowing risk-free money through combinations of option trades. Knowing these bounds allows you to do two things: 1. Compare implied interest rate levels