Returns-Based Style Analysis (RBSA)
We look at Returns-Based Style Analysis - what it is and how it's used to determine trading or investment style and asset class exposures.
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Blog Posts – page 71
Fixed-Income Attribution (Components & Example)
Fixed-Income Attribution is a process used to analyze the performance of a fixed-income portfolio relative to a benchmark.
Universal Portfolio Algorithm (Principles & Python Example)
We look at the Universal Portfolio Algorithm – its principles, strengths and weaknesses, and use in trading, investing, and finance.
Performance Ratios – Sharpe vs. Sortino vs. Treynor vs. Information vs. Bias
We look at the differences between Sharpe, Sortino, Treynor, Information, Omega, and Bias ratios. Learn more here.
High Dimensionality in Finance
High dimensionality in finance - numerous interrelated factors affecting asset values. Complex analytical challenges. How are they handled?
Malliavin Calculus in Finance
We look at Malliavin Calculus, how financial models can be sensitive to small changes, option pricing, and risk assessment.
Hamilton-Jacobi-Bellman (HJB) Equation in Trading
We look at the HJB equation, what it's used for, and how it can improve your trading, investing, or other decision-making processes.
Gradient-Based Methods in Quantitative Finance
Gradient-based methods are a category of optimization techniques used in quantitative finance. Learn more about them here.
Heuristics and Metaheuristic Algorithms in Trading & Quantitative Finance
We look at how various forms of heuristic and metaheuristic algorithms can help us with portfolio optimization, risk management, and trading.
Why the Zillow Zestimate (And Other AVMs) Are Flawed
We look at the various reasons why the Zillow Zestimate and other AVM models are flawed and should be trusted with caution.