Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. I am surprised I have waited so long to write a post about this wonderful resource. Aft...

In a previous post I introduced the Smith for Congress data set. The data is 49k contributions made by individuals to a congressional campaign for the 2006-2010 electoral cycles. Smith for Congress is not the name of the actual campaign. Individual contributions are not required to be disclosed by a campaign unless the individual donates

What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction constraints from a statistical factor model. … Continue reading...