This is a summary of links featured on Quantocracy on Wednesday, 07/26/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Managing Missing Asset Returns in Portfolio Analysis: Backfilling through Residuals Recycling [Portfolio Optimizer]In a multi-asset portfolio, it is usual that some assets have shorter return histories than others1. Problem is, the presence of assets whose return histories differ in length makes it nearly impossible to use standard portfolio analysis and optimization methods Estimating the historical covariance matrix of a multi-asset portfolio, for example, is not possible when assets have unequal return