This is a summary of links featured on Quantocracy on Tuesday, 11/03/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Improving the use of correlations in portfolio optimisation when handcrafting [Investment Idiocy]Remember the handcrafting method, which I described in this series of posts? Motivating portfolio construction Methodology Implementing Testing Adjusting portfolio weights for Sharpe Ratios All very nice, all very theoretically grounded, except for one thing: the 'candidate matrices'. Remember, what we do is group our portfolio into subportfolios of 2 or 3 assets, and find some initial