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Beat the Market with Meucci and Markowitz

January 5, 2017
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Beat the Market with Meucci and Markowitz

  Introduction I am very excited to finally share some of my research exploring Meucci’s (Meucci (2005)) portfolio optimization methods, and how the resulting portfolios compare to the use of historical data. For those unfamiliar with Attilio Meucci, he runs an annual Advanced Risk and Portfolio Managment Bootcamp in New York City every summer. The … Continue reading Beat...

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Replicating CRSP Volatility Decile Portfolios in R

December 7, 2016
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Replicating CRSP Volatility Decile Portfolios in R

  Introduction In this post, I provide R code that enables the replication of the Center for Research in Security Prices (CRSP) Volatiliy Deciles using Yahoo! Finance data. This post is related to my last blog post in that it will generate the CRSP low volatility decile portfolio, thereby facilitating the replication of the associated … Continue reading Replicating...

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