This is a summary of links featured on Quantocracy on Thursday, 10/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Summing up the Potential Benefits and Pitfalls of Diversification in 3 Slides [Alpha Architect]Not long ago I used to teach investment management courses to Masters students (MBAs and MS Finance types). A core aspect of my course was so-called modern portfolio theory. We did a lot of math and problem-sets to make it feel like we were doing something useful. But I can summarize the core muscle movements of portfolio theory in 3 slides. Slide 1: The Math Works. Why do academics love
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How can the Investment CAPM Price Momentum? [Alpha Architect]How can a q-theoretic model price momentum? is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing in empirical asset pricing can neoclassic economic models explain the so-called momentum anomaly? A quote from the start of the paper, which answers the question of Can the investment CAPM price momentum? The answer, of course, is that it