This is a summary of links featured on Quantocracy on Thursday, 07/06/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Simulation from a Multivariate Normal Distribution with Exact Sample Mean Vector and Sample Covariance Matrix [Portfolio Optimizer]In the research report Random rotations and multivariate normal simulation1, Robert Wedderburn introduced an algorithm to simulate i.i.d. samples from a multivariate normal (Gaussian) distribution when the desired sample mean vector and sample covariance matrix are known in advance2. Wedderburn unfortunately never had the opportunity to publish his report3 and his work was forgotten until Li4
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Parameter exploration with quant_rv and heatmap [Babbage9010]For v1.2.0 we take a step back from 1.1.0 to meet some of the new goal requirements right off the bat, and to play explore. In particular, we remove the code to test QQQ (or other ETFs) and related vars. Next we change code to make it easy to explore parameters (like the volatility threshold) to see how it works and what it actually does. Finally we craft a heatmap tool to help us explore the