@brockpat.bsky.social
Reposted
Can we simplify the complexities of the stock market into a simple set of quantifiable metrics? A lot of academic papers suggest this, and they offer formulas that should make the life of a stock picker easier. But do they really work out-of-sample?
quantpedia.com/out-of-sampl...
#quant #fintwit
quantpedia.com/out-of-sampl...
#quant #fintwit
January 17, 2025 at 7:26 AM
Can we simplify the complexities of the stock market into a simple set of quantifiable metrics? A lot of academic papers suggest this, and they offer formulas that should make the life of a stock picker easier. But do they really work out-of-sample?
quantpedia.com/out-of-sampl...
#quant #fintwit
quantpedia.com/out-of-sampl...
#quant #fintwit
Reposted
Check out this Substack note that presents the main issues of mean-variance analysis including a video:
substack.com/profile/1707...
#investing #markets #quant #quantsky #volatility #riskmanagement #cvar #finsky #finance #portfolio #variance #markowitz
substack.com/profile/1707...
#investing #markets #quant #quantsky #volatility #riskmanagement #cvar #finsky #finance #portfolio #variance #markowitz
Anton Vorobets on Substack
What are the main issues with mean-variance?
Most people are aware of the problems caused by inaccurate estimates of marginal distributions because returns do not follow nice bell-shaped distribution...
substack.com
January 9, 2025 at 12:43 PM
Check out this Substack note that presents the main issues of mean-variance analysis including a video:
substack.com/profile/1707...
#investing #markets #quant #quantsky #volatility #riskmanagement #cvar #finsky #finance #portfolio #variance #markowitz
substack.com/profile/1707...
#investing #markets #quant #quantsky #volatility #riskmanagement #cvar #finsky #finance #portfolio #variance #markowitz