A look at daily and monthly bitcoin return distributions. Which distribution best describes the observed data. And, what does this mean from a portfolio management perspective?
Probably the most popular models in modern investment management are factor models. Growing out of the Capital Asset Pricing Model … More
Traditional portfolio optimization (often called modern portfolio theory, or mean-variance optimization) balances expected portfolio return with expected portfolio variance. You … More
I regularly use monte carlo engines to answer questions. First, they are really flexible in their ability to model non-normal … More
Used in post-modern portfolio theory (PMPT), the Sortino Ratio punishes only downside risk relative to some required return (usually zero). … More