This is a summary of links featured on Quantocracy on Sunday, 10/24/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
New Site: Is the diversification ratio time-varying? [Lucas Miranda]Today we are going to check whether the diversification index proposed by Choueifaty and Coignard (2008) varies over time and some characteristics of this index. The construction of this analysis will be done using python. The Bovespa Index is the main stock index in the Brazilian market and is composed of around 90 stocks. You can check the daily composition of the index here. Remember the
A History of Wealth Creation in the U.S. Equity Markets [Alpha Architect]Hendrik Bessembinder contributes to the literature on the returns to public equity investment diversification benefits with his study Wealth Creation in the US Public Stock Markets 1926-2019, published in the April 2021 issue of The Journal of Investing. The study updated his 2018 paper, Do Stocks Outperform Treasury Bills?, (Summary and More) adding three more years of data. He
A New parameterization of Correlation Matrices [Eran Raviv]In volatility modelling, a typical challenge is to keep the covariance matrix estimate valid, meaning (1) symmetric and (2) positive semi definite*. A new paper published in Econometrica (citing from the paper) introduces a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive