Flirting with Models

The Research Library of Newfound Research

Category: Uncategorized

Machine Learning, Subset Resampling, and Portfolio Optimization

We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.

A Closer Look At Growth and Value Indices

The Luck of the Rebalance Timing

Rebalance timing is often taken for granted, but it can have a large impact on results. It may be the difference between hired and fired.

As January goes, so goes the year?

The January effect is commonly cited as a rule, but it gives no statistically valid forward information about the remainder of the year's performance.