What I Missed When Reading Quantitative Portfolio Management The First Time (Taylor's Version)
For trend followers/long short fellas who wanna use portfolio optimisers (probably)
Topic
Portfolio Optimisation
A collection of 9 issues
Variance Penalty In Portfolio Optimisation
Volatility is naughty
Paradox of Alpha Uncertainty
Why are you as an adult male, still say alpha errors matter more than covariance errors?
PCA Truncation On Covariance Matrix - Everyone Talks About It, But What Does It Actually Do?
I bombed 2 quant interviews because I failed PCA questions. Inshallah won't happen again
Intuitive Portfolio Shrinkage That Even Your Mum Can Understand
For all of you who are degenerates at constructing portfolios
Farewell Episode: Risk Parity Without Correlations
Never get into a committed relationship with assets' covariance. They're too unstable.
Cross-Predictability Between Assets (Part I): All Signals Matter
As the King of the quantymacro Land, I have passed an executive order of "No Signal Left Behind" effective immediately.
Should you combine positions or signals? (Part II): Having your cake and eating it too
Do we actually have to extract assets' expected returns to harvest the benefits of factor model? Here we will talk about another approach where we can sum up our positions, and still integrate a factor risk model, without having to explicitly extract the expected returns of the underlying assets.
Should you combine positions or signals? (Part I): Having your cake and eating it too
Let’s just assume we have 2 signals (Trend and Carry). How do we combine these signals together? Generally there are two broad ways of doing it:
1. Combining positions of the individual signals
2. Regress future returns against the signals to get expected returns of each asset
In this