Portfolio Alpha stability and portfolio optimization models Stability and robustness of portfolio Alphas – the excess return metric – and its implication for portfolio allocation and optimization models – a short thesis on portfolio alpha stability. How stable is your portfolio alpha – introducing alpha

The post Portfolio alpha stability and allocation optimization models. appeared first on Finance Training Course.

Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students that over time grew into eleven hundred

The post Celebrating 7 years of decoding computational finance. appeared first on Finance Training Course.

Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students that over time grew into eleven hundred

The post Celebrating 7 years of decoding computational finance. appeared first on Finance Training Course.

The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams.  The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce

The post Stress testing correlation – The positive correlation stress test appeared first on Finance Training Course.

The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams.  The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce

The post Stress testing correlation – The positive correlation stress test appeared first on Finance Training Course.