Now we move on to the second part of the Exercise 5.2, which requires to implement regularized logistic regression using Newton's Method. Plot the data:

In the Maximum Loss and Mean-Absolute Deviation risk measures post I started the discussion about alternative risk measures we can use to construct efficient frontier. Another alternative risk measures I want to discuss are Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR). I will use methods presented in Comparative Analysis of Linear Portfolio Rebalancing

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