This is a summary of links featured on Quantocracy on Tuesday, 12/19/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Beyond Modified Value-at-Risk: Application of Gaussian Mixtures to Value-at-Risk [Portfolio Optimizer]In a previous post, I described a parametric approach to computing Value-at-Risk (VaR) – called modified VaR12 – that adjusts Gaussian VaR for asymmetry and fat tails present in financial asset returns3 thanks to the usage of a CornishFisher expansion. Modified VaR, when properly used4, provides accurate estimates of the VaR for a wide range of non-normal portfolio return distributions.
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Can Machine Learning help to select mutual funds with positive alpha? [Alpha Architect]The study emphasizes the importance of integrating machine learning with other tools for investment managers, pension-plan administrators, financial advisors, and independent analysts to help investors select active mutual funds with positive alpha. It also highlights the significance of fund characteristics in predicting alpha, even when portfolio holdings are not disclosed.