Last Wednesday I had a meeting with the folks of the New Zealand Drylands Forest Initiative in Blenheim. In addition to sitting in a conference room and having nice sandwiches we went to visit one of our progeny trials at … Continue reading →

The Minimum Investment and Number of Assets Portfolio Cardinality Constraints are practical constraints that are not easily incorporated in the standard mean-variance optimization framework. To help us impose these real life constraints, I will introduce extra binary variables and will use mixed binary linear and quadratic programming solvers. Let’s continue with our discussion from Introduction

The 130/30 funds were getting lots of attention a few years ago. The 130/30 fund is a long/short portfolio that for each $100 dollars invested allocates $130 dollars to longs and $30 dollars to shorts. From portfolio construction perspective this simple idea is no so simple to implement. Let’s continue with our discussion from Introduction

During construction of typical efficient frontier, risk is usually measured by the standard deviation of the portfolio’s return. Maximum Loss and Mean-Absolute Deviation are alternative measures of risk that I will use to construct efficient frontier. I will use methods presented in Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds by

I have a few friends that keep bragging about their 14% annual returns by investing their money with Lending Club, a peer-to-peer lending service that cuts out the complexities and difficulties of getting approved for a loan through a bank. To give you an idea of the sheer amount of volume Lending Club has been

At first sight, one could think this picture is a scale model of some narrow moutains, like Bryce Canyon… Actually it represents crimes in East London, an cardboard artwork by the Londoner artist Abigail Reynolds, called Mount Fear. Here is what can be read on the artist’s webpage: The terrain of Mount Fear is generated