This is a summary of links featured on Quantocracy on Monday, 04/27/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Introducing Online Portfolio Selection [Hudson and Thames]Online Portfolio Selection is an algorithmic trading strategy that sequentially allocates capital among a group of assets to maximize the final returns of the investment. Traditional theories for portfolio selection, such as Markowitzs Modern Portfolio Theory, optimize the balance between the portfolios risks and returns. However, OLPS is founded on the capital growth theory, which solely
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VIX – Simple and Intuitive Explanation of Volatility Index [Only VIX]Few years ago I published two post trying to give simple explanations and intuition behind complicated formulas used for calculating vol indexes. However few of you emailed that some charts are missing from these older posts, and for technical reasons since I could not restore them, I decided to re-created new charts from scratch, and re-write the posts. In this post I will make many
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Tranching, Trend, and Mean Reversion [Flirting with Models]In past research we have explored the potential benefits of how-based diversification through the lens of pay-off functions. Specifically, we explored how strategic rebalancing created a concave payoff while momentum / trend-following created a convex payoff. By combining these two approaches, total portfolio payoff became more neutral to the dispersion in return of underlying assets. We have also
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Tail Risk Hedge Funds [Factor Research]Tail risk funds tend to be most in demand when they are least attractive Short-term bonds provided similar benefits to tail risk funds The TAIL ETF closely replicates the performance of tail risk funds INTRODUCTION In a year where the S&P 500 lost more than 30% in a few weeks, there are few headlines that draw as much attention as these: This Black Swan Trade Saw 1,000% Profits This Week