This is a summary of links featured on Quantocracy on Sunday, 10/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Exploring the PMFG Portfolios for Covid-19 Robustness [Hudson and Thames]Pozzi, Di Matteo, and Aste (2013) conclude that it is better to invest in the peripheries of the Planar Maximally Filtered Graph (PMFG), as investing in the peripheries lead to better returns, and reduced risk. This blog post explores the impacts of Covid-19 by simulating two investment portfolios a portfolio consisting of peripheral stocks, versus a portfolio consisting of central
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The Next 5 Weeks All Are Among The Weakest And Strongest Of The Year [Quantifiable Edges]October is a month that is known for volatility. And that is a well-earned reputation. Crashes in 1929, 1987, and 2008 all occurred in October. But volatility cuts both ways. If you break the year down into 1-week periods, October also contains some of the strongest seasonal edges of the year, both bearish and bullish. Breaking the year down by week is something I have done numerous times over the
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Lottery Preferences and Their Relationship with Factor Investing [Alpha Architect]Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of return. However, research has found that these assumptions dont hold. In the real world, there are investors who have a taste, or preference for lottery-like investments