This is a summary of links featured on Quantocracy on Tuesday, 03/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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NEW SITE: Portfolio Optimization: Minimize risk with Turnover constraint via Quadratic Programming [Dilequante]Rebalancing portfolios is an important event in the life of the portfolio manager, whether we talk about the timing or the degree of the rebalancing, i.e. the portfolio turnover, this is a sensitive operation. As well as the first one is important to avoid bad timing market effects, the second one has direct implication on friction costs, a.k.a the transactions costs. In this article, we will