# Tag Info

Accepted

### What are reasons not to do factor investing in equity markets?

This question goes to whether the historical returns to factors represent: Spurious results, overfitting, data mining... Mispricing Unexploitable effects Compensation for risk Case 1: Spurious ...
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### cvxpy portfolio optimization with risk budgeting

The underlying problem: your ACTR constraints aren't convex The $i$th constraint on your risk contribution can be written: $$w_i \sum_j \sigma_{ij} w_j \leq c_i s$$ And this isn't a convex ...
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### Which algorithms do robo-advisors use?

After having done a lot of research on the topic I found the following excellent research piece on ETF.com: Wealthfront modifies historic asset-class returns with current market implied expected ...

### Choosing the right statistical test for Mutual Fund Performance Evaluation

Define excess return $r^x_{it} = r_{it} - r^f_{t}$ as the return $i$ minus the risk free rate, and $f_{jt}$ similarly denotes the excess return of factor $j$ at time $t$. Let's say we have some factor ...
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### What is the total correlation between assets in a portfolio?

This is indeed an interesting question. According to this website, a paper by Goldman Sachs [Tierens and Anadu (2004)] proposes three alternative methods for estimating average stock correlations: ...
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### Calculating alpha and its meaning

Alphas from a time-series regression are error terms in the cross-sectional, linear relationship between expected returns and factor betas. If a factor model were correct those error terms (the alphas)...

### Hedging Covid-19 and other low probability high loss risks

There's no easy answer to your question, as noob2 pointed out. You can look online for info from Universa. That fund does exactly what you are asking: https://www.universa.net/riskmitigation.html ...
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### How to check if a portfolio has momentum bias

It kind of depends what your objective is. First, momentum 'bias' isn't well-defined. Are you looking to eliminate momentum exposure for some reason? Momentum itself isn't even well-defined really: ...

### Most significant research articles for practical investors with research perspectives

A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work. Here are a few ...

### On the interface between Quant finance and actuarial-science/insurance-math

Actuarial science traditionally focuses on estimation of joint probabilities using real data where math finance is on valuation of contracts under an arbitrary distribution. It means the first one ...

### Historical Financial Statement to Backtest in R

Both free and paid access to data sets conatianing company financial statement items is available from Quandl. The free data sets are sourced from the SEC based on compnay electronic filings and go ...
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### Can I add the greeks of individual postions to obtain greeks for the portfolio

most models in financial maths are linear so prices and Greeks just add. This is in particular true of Black--Scholes so Yes. However, once one starts taking into account value adjustments non-...