This is a summary of links featured on Quantocracy on Thursday, 12/03/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
Markowitz portfolio optimization with VBA code [RRSP Strategy]Wouter, Butler and Kipnis  recently demonstrated Classical Asset Allocation (CAA) for long only portfolios, based on Markowitz concepts. The method uses only two parameters thus minimizing the chances of curve-fitting and data snooping. The parameters are lookback period (12 months) and target volatility. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2606884 Main results from the
State of Trend Following in November [Au Tra Sy]Last months results for trend following were positive, with a strong performance that took the index back into positive territory for the year. The strategy goes into the last month of the year holding modest gains but 2015 will obviously not be a repeat of the runaway performance from last year. Please check below for more details. Detailed Results The figures for the month are: November