portfolio-theory

Apollo announced the final close of Apollo Accord Fund VII (“Accord VII” or the “Fund”) with $1.9 billion in total commitments, reflecting broad support from a global and diverse group of investors including pension funds, financial institutions, endowments, foundations and family offices. Accord VII is the latest vintage of the Firm’s flagship Accord Dislocation Series, which has raised $11.6 bi…

In an era of increasingly fragmented market microstructure, the emergence of cross-asset connectedness between Crypto and public equity markets presents a critical challenge for modern portfolio construction. This blog post examines the recent working paper by Harin de Silva, "The Attention Factor: The Speculative Risk You May Already Own," which identifies a previously underappreciated transmiss…

Since the beginning of this year, LIBOR rates have ceased in some markets like GBP, CHF, and JPY and rates pricing has moved into the RFR space, using compounded overnight rates as the underlying for cap-/floor(lets). My questions now are concerned with the building of a vol surface based on broker quotes of normal par vols (absolute strikes, yearly expiries, backward looking with quarterly compo…

From continuous theory to discrete execution. How Mixed-Integer Programming (MIP) solves the NP-Hard problems of real-world trading. Master the mathematical architectures, strategic applications, and modern solver technologies that power quantitative finance. 📊 Deep Research Topics: quantitative finance, investment analysis, financial education, financial research, market analysis

This is a summary of links recently featured on Quantocracy as of Wednesday, 04/29/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Selecting TAA Strategies Based on Recent Performance (Part 1) [Allocate Smartly] This is the first of a multipart series examining the selection of Tactical Asset Allocation (TAA) strategies […] The post Recent Quant Links from Quantocracy…

This video decodes the DNA of modern finance through financial data architecture — exploring Product Masters, Entity hierarchies, transaction lifecycles, and the three books of record that underpin capital markets. 🎥 Video Tutorial 🎥 Watch Video: https://youtu.be/r4DG-C7B0yw Topics: quantitative finance, investment analysis, financial education, financial education video, trading tutorial

Former JP Morgan Asset Management trading head was recognized for his team’s work in profiling portfolio managers’ alpha styles.

Commodity markets are in the spotlight. Two factors currently stand out. Firstly, the geopolitical tensions, as ongoing instability in the Middle East continues to create uncertainty in energy markets, particularly on the supply side. Secondly, less discussed are climate conditions as the El Niño–Southern Oscillation (ENSO) is a recurring climate cycle that affects temperature and precipitation p…

I downloaded adjusted closing price using quantmod for a set of securities. I want to calculate daily/weekly/monthly return for all securities. Usual dailyReturn, weeklyReturn etc not working. What do I need to do? Here is my code. tickers <- c('FB','MMM') data_env <- new.env() getSymbols(Symbols = tickers, env = data_env) tempPort <- do.call(merge, eapply(data_env, Ad)) head(tempPort ) …

Hi all, In the spirit of sharing and helping prospective students, I thought I’d do an AMA. I recently broke into quant trading and would have found something like this quite useful a year ago. who am I: I’m about to join a semi-systematic pod at a hedge fund as an analyst. My background is in pure mathematics (non-target for undergrad) followed by Part III at University of Cambridge, where I foc…

A comprehensive masterclass on navigating concentrated wealth using Equity Collars and Prepaid Variable Share Forwards (PVSFs). From zero-cost collar architecture and variable settlement algorithms to IRC Section 1259 constructive sale rules, SEC Form 4 disclosure requirements, and the landmark McKelvey litigation. 📊 Deep Research • 📈 Options Strategy Topics: quantitative finance, investment an…

This video breaks down the Black-Litterman model — how Goldman Sachs' framework blends equilibrium market returns with investor views to produce more stable, intuitive portfolio allocations than classical mean-variance optimization. 🎥 Video Tutorial 🎥 Watch Video: https://youtu.be/fhMyv0I69LQ Topics: quantitative finance, investment analysis, financial education, financial education video, tra…

One of the advantages of the Quantpedia Pro platform and its Portfolio Analysis toolkit is the ability to analyze not only multi-asset and multi-strategy portfolios but also individual equity curves. Users can upload virtually any return series or analyze assets already present in the database. The same analytical tools used for portfolio construction can therefore also be applied to single asset…

A comprehensive deep dive into the Black-Litterman model, exploring its mathematical foundations, institutional applications, and modern extensions. From Goldman Sachs' original framework to AI-powered implementations. 📊 Deep Research Topics: quantitative finance, investment analysis, financial education, financial research, market analysis

Ok, from my perspective: 1. There may be persistent quadratic behaviour. 2. That it might not be stable doesn't worry me unduly. 3. An obvious question is whether this is in the literature already and if not why not? 4. Saying that it is inverse gamma is just kicking the can down the road. Why inverse gamma? 5. DO has an explanation for the quadratic. Anyway, I see this thread as a net positive! …

I have been searching for a behavioural modelling approach to project the cash flows of no maturity loan products (such as credit cards, revolving loans and overdrafts) for interest rate risk purposes. Though I couldn't find any strong sources for it. What are the common practices in banks when it comes to modelling these kinds of purposes within the perspective of interest rate risk, like repric…

Factor models such as Fama-French or the other ones that are partially summarized here work on the cross-section of asset returns. How are the factors built, how are sensitivities/coefficients estimated? In this context Fama-MacBeth regressions are usually mentioned. How does this method work intuitively? Could anyone give a step-by-step manual? EDIT: Links to papers and manuals have been posted…

The following paper (and the references given within) focuses on the practical aspects of implementation of factor-based investing and gives an overarching framework for the more technical answers here: Practical Considerations for Factor-Based Asset Allocation by Kang, X. (Standard & Poor's), Ung, D. (Chartered Alternative Investment Analyst Association (CAIA); Global Association of Risk Profess…

This is a summary of links recently featured on Quantocracy as of Monday, 04/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Mean-Variance Optimization in Practice: Reverse Optimization and Implied Expected Returns [Portfolio Optimizer] The fact that mean-variance optimizers are highly sensitive to changes in expected returns [] is well […] The post Recent Quant Li…

TAGS: risk-management, trading-psychology, portfolio-strategy, audio-production Here is what I learned after five years sending signals to paying subscribers. The setup that looks obvious in a backtest is the one that blows up your account in live trading. The boring setup, the one you ignored, is the one that paid my rent. This is not a trading tutorial. This is about how you process signal and …