This is a summary of links featured on Quantocracy on Tuesday, 10/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Replicating Indexes In R With Style Analysis: Part I [Capital Spectator]In the quest for clarity in portfolio analytics, Professor Bill Sharpes introduction of returns-based style analysis was a revelation. By applying statistical techniques to reverse engineer investment strategies using historical performance data, style analysis offers a powerful, practical tool for understanding the source of risk and return in portfolios. The same analytical framework can be
The Kelly Criterion and Option Trading [Highly Evolved Vol]The Kelly criterion can be used to calculate the optimal size of a trade. Specifically, it gives the size that increases the trader's account at the fastest possible rate. It is possible that a given trader might not actually want this. She might want some sort of volatility or draw down constraint as well, but traders should still understand the ideas and implications of Kelly sizing. And