Price to earnings ratios are readily observable, but what can they tell us about a market or security?
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
I spend quite a bit of time at work trying to understand where we are in the business cycle. That … More
Traditional portfolio optimization (often called modern portfolio theory, or mean-variance optimization) balances expected portfolio return with expected portfolio variance. You … More
I started my career in finance in 2007. For about a year I thought “this is great!” Then 2008 hit … More
I just posted an interesting look at the growth of the labor force by decade. Given that I used R … More
I regularly use monte carlo engines to answer questions. First, they are really flexible in their ability to model non-normal … More
I’m in the thick of our annual portfolio investment due diligence at work. Basically, this involves surveying all the potential … More
I spent some time today learning the nnet package in R. nnet makes building, training, and predicting with neural nets … More