Month: July 2013 (Page 2 of 3)
While factors exhibit risk premier over long time horizons, they can significantly underperform in the short-term. In this post, we highlight one of these.
Social influence is a form of momentum. Measuring this as it happens in the market rather than forecasting can lead to more reactive and adaptive models.
This weekly wrap highlights some major market events from the past week including Greek debt, commodity declines and China's lower output.
Pure optimization can lead to results that are not optimal upon real-world implementation. We must often account for human preferences in our math.
Tail-risk parity attempts to even out the risk a catastrophic losses across the portfolio. However, estimation errors inherent in VaR make this difficult.
