This is a summary of links featured on Quantocracy on Wednesday, 08/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Computation of Theory-Implied Correlation Matrices [Portfolio Optimizer]In this short post, I will provide an overview of the TIC algorithm1 introduced by Marcos Lopez de Prado in his paper Estimation of Theory-Implied Correlation Matrices2, which aims to compute a forward-looking asset correlation matrix blending both empirical and theoretical inputs. I will also describe the associated implementation tweaks in Portfolio Optimizer. Notes: A Google sheet corresponding