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Roman | PortfolioOptimizer.io

@portfoliooptim

Democratizing access to the Nobel Prize-winning science of portfolio optimization. Free Web #API available at https://xitter.gq/t.co/Sc4wrvf02k.

 France
portfoliooptimizer.io/
Joined July 2021
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Loris Dalleau
@Loris_DalleauAug 6
Retour sur terre pour le momentum ? 馃摳 Goldman Sachs
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Quantocracy@Quantocracy21 Oct 2022
Correlation Matrices Denoising: Results from Random Matrix Theory [@PortfolioOptim] dlvr.it/SbTkYQ

Correlation Matrices Denoising: Results from Random Matrix Theory

The estimation of empirical correlation matrices in finance is known to be affected by noise, in the form of measurement error, due in part to the short length of the time series of asset returns...

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Quantocracy@Quantocracy27 Sep 2022
The Probabilistic Sharpe Ratio: Hypothesis Testing and Min Track Record Length [@PortfolioOptim] dlvr.it/SZ3PKK

The Probabilistic Sharpe Ratio: Hypothesis Testing and Minimum Track Record Length for the Differ...

In the first post of this series about the Sharpe ratio considered as a statistical estimator, I introduced a probabilistic framework to answer the question What is the probability that an estimated...

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Quantocracy@Quantocracy16 Sep 2022
The Probabilistic Sharpe Ratio [@PortfolioOptim] dlvr.it/SYRPc9
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Quantocracy@Quantocracy8 Sep 2022
Bootstrap Simulation with Portfolio Optimizer: Usage for Financial Planning [@PortfolioOptim] dlvr.it/SXznPy
Bootstrap Simulation with Portfolio Optimizer: Usage for Financial Planning

Bootstrap Simulation with Portfolio Optimizer: Usage for Financial Planning

In statistics, a bootstrap method, also called bootstrapping, is a compute-intensive procedure that allows to estimate the distribution of a statistic through repeated resampling from a single...

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Quantocracy@Quantocracy25 Aug 2022
Computation of Theory-Implied Correlation Matrices [@PortfolioOptim] dlvr.it/SXBnLQ
Computation of Theory-Implied Correlation Matrices: Overview and Example

Computation of Theory-Implied Correlation Matrices: Overview and Example

In this short post, I will provide an overview of the TIC algorithm1 introduced by Marcos Lopez de Prado in his paper Estimation of Theory-Implied Correlation Matrices2, which aims to compute a...

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Quantocracy@Quantocracy2 Aug 2022
The Effective Number of Bets: Measuring Portfolio Diversification [@PortfolioOptim] dlvr.it/SVwhvH
The Effective Number of Bets: Measuring Portfolio Diversification

The Effective Number of Bets: Measuring Portfolio Diversification

Many different measures of portfolio diversification have been developed in the financial literature, from asset weights-based diversification measures like the Herfindahl Index1 to risk-based...

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Quantocracy@Quantocracy11 May 2022
Selecting a Stock Market Data (Web) API: Not So Simple [@PortfolioOptim] dlvr.it/SQ9F58
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Quantocracy@Quantocracy29 Apr 2022
The Absorption Ratio: Measuring Financial Risk, Part 2 [@PortfolioOptim] dlvr.it/SPSL8q
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Quantocracy@Quantocracy18 Apr 2022
The Turbulence Index: Measuring Financial Risk [@PortfolioOptim] dlvr.it/SNnL8B
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Quantocracy@Quantocracy4 Feb 2022
Ulcer Performance Index Portfolio Optimization [@PortfolioOptim] dlvr.it/SJNpGB
Ulcer Performance Index Portfolio Optimization

Ulcer Performance Index Portfolio Optimization

The Ulcer Performance Index1 (UPI) is a portfolio reward-risk measure introduced by G. Martin2 similar in spirit to the Sharpe Ratio, but using the Ulcer Index (UI) as a risk measure instead of the...

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