This is a summary of links featured on Quantocracy on Friday, 04/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean-Variance Optimization: Well Diversified (Near) Efficient Portfolios [Portfolio Optimizer]One well-known stylized fact of the Markowitzs mean-variance framework is that, irrespective of the quality of the estimates of asset returns and (co)variances, efficient portfolios are concentrated in a very few assets1. From a practitioners perspective, this has always been a problem12. In this blog post, I will describe a solution proposed in Corvalan3, which is to replace efficient
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Nuclear Threats and Factor Performance – Takeaway for Russia-Ukraine Conflict [Quantpedia]The Russian invasion of Ukraine and its repercussions continue to occupy front pages all around the world. The battle situation is very dynamic, but it seems that Ukraine holds ground very well and is even able to execute strong local counter-offensives against Russian forces. Thats definitely not a situation that president Putin had expected when he started his special operation.