This is a summary of links featured on Quantocracy on Sunday, 08/02/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio Optimisation with MlFinLab: Hierarchical Equal Risk Contribution [Hudson and Thames]Harry Markowitzs Modern Portfolio Theory (MPT) was seen as an amazing accomplishment in portfolio optimization, earning him a Nobel Prize for his work. it is based on the hypothesis that investors can optimize their portfolios based on a given level of risk. While this theory works very well mathematically, it fails to translate to real-world investing. This can be mainly attributed to two