Flirting with Models

The Research Library of Newfound Research

Tag: principal-portfolio

A shock to the covariance system

Modern portfolio theory relies on the assumption of normal returns. In this post we explore how to shock a covariance matrix to create fat tails.

The Intuition Behind Sharpe Maximization in Unconstrained Mean-Variance Optimization

In this post, we develop a simple intuition for interpreting maximum Sharpe ratio portfolios for both correlated and uncorrelated assets.
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