This is a summary of links featured on Quantocracy on Wednesday, 01/29/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantitative Analytics: Optimal Portfolio Allocation [R Shenanigans]The literature in portfolio optimisation has been around for decades. In this post I cover a number of traditional portfolio optimisation models. The general aim is to select a portfolio of assets out of a set of all possible portfolios being considered with a defined objective function. The data: The data is collected using the tidyquant() packages tq_get() function. I then convert the daily
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Is the Fama-French Model Dead? [Falkenblog]When I was in graduate school at Northwestern in the early 90s the hot financial topics were all related to finding and estimating risk factors: Arbitrage Pricing Theory via latent factors (Connor and Koraczyk 1986), Kalman filter state-space models (eg, Stock and Watson 1989), and method of moment estimators (Lars Hansen 1982). These appealed to central limit theorem proofs, which is the academic
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The predictability of crowding on factor strategy performance [Alpha Architect]The focus of this study is on the response of typical or systematic risk premia to crowding (large inflows of capital). In particular, the paper focused on documenting the response of commonly recognized systematic risk premia strategies to periods, following the identification of crowded conditions. What the focus is not: the impact of a broad-based unwinding such as the quant meltdown of 2007,