This is a summary of links featured on Quantocracy on Friday, 06/25/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Optimising portfolios for small accounts: Dynamic optimisation testing -> EPIC FAIL [Investment Idiocy]This is part two in a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital. Part one is here (where I discussed the idea). You should read that now, if you haven't already done so. In this post I show you and explain the code and methodology used for the backtesting of this idea, and look at the results. The code is in my open
Research Review | 25 June 2021 | Tail Risk [Capital Spectator]Equity Tail Risk in the Treasury Bond Market Mirco Rubin (EDHEC) and Dario Ruzzi (Bank of Italy) December 23, 2020 This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk as the option-implied stock market volatility that stems from large negative jumps as in Bollerslev, Todorov and Xu (2015), and assess its value in reduced-form