This is a summary of links featured on Quantocracy on Wednesday, 11/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Random data: Random wanderings in portfolio optimisation [Investment Idiocy]Everyone knows that the usual naive method of portfolio optimisation is, well, a bit rubbish. This isn't because the method is flawed, but it relies on the inputs being 100% accurate, or to put it another way we need to know precisely what the mean, volatility and correlation of future returns are going to be. But most peoples crystal balls are somewhat foggy. Fortunately there are a few
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Bond Performance when Interest Rates Spike [Alpha Architect]The prediction of higher interest rates has been ongoing since the government went all-in on a variety of so-called inflationary efforts. Inflation hasnt happened and rates are still low across the yield curve. So-called bond vigilantes, having been wrong for 7 years now and are still calling for inflation and subsequent higher interest rates. Will higher interests happen? I dont