This is a summary of links featured on Quantocracy on Tuesday, 12/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Explaining variance [OSM]Were returning to our portfolio discussion after detours into topics on the put-write index and non-linear correlations. Well be investigating alternative methods to analyze, quantify, and mitigate risk, including risk-constrained optimization, a topic that figures large in factor research. The main idea is that there are certain risks one wants to bear and others one doesnt. Do you want