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Home Posts Tagged "Equity Portfolios"

JonathanGenetic Programming, Machine Learning, Portfolio Construction, Portfolio Theory, Systematic StrategiesAlgorithmic Trading, Equity Portfolios, Genetic Programming, Machine Learning, Portfolio Theory, Quantitative Equity Strategy

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JonathanEquities, Genetic Programming, Hedge Funds, Machine Learning, Portfolio Construction, Portfolio Management, Portfolio TheoryEquity Portfolios, Genetic Programming, Hedge Fund, Portfolio Construction, Portfolio Risk, Portfolio Theory, Quantitative Equity Strategy

For many decades the principles of portfolio construction laid out by Harry Markovitz in the 1950s have been broadly accepted as one of the cornerstones of modern portfolio theory (as summarized, for example, in this Wikipedia article). The strengths and weakness of the mean-variance methodology are now widely understood and broadly accepted. But alternatives exist, one…

JonathanIndex Replication, Index Trading, Pairs Trading, Portfolio Construction, Portfolio Theory1 commentCorrelation, Equity Portfolios, Graph Theory, Replicating Portfolios, Statistical Arbitrage

Very large datasets – comprising voluminous numbers of symbols – present challenges for the analyst, not least of which is the difficulty of visualizing relationships between the individual component assets. Absent the visual clues that are often highlighted by graphical images, it is easy for the analyst to overlook important changes in relationships. One means of tackling the…

JonathanCointegration, Correlation, Portfolio Management, Statistical ArbitrageCointegration, Correlation, Equity Portfolios

The use of correlations is widespread in investment management theory and practice, from the construction of portfolios to the design of hedge trades to statistical arbitrage strategies. A common difficulty encountered in all of these applications is the variation in correlation: assets that at one time appear to be suitably uncorrelated for hedging purposes, may…

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