If anyone wants to catch up ill see you there!
@cvar-sil.bsky.social
@cvar-sil.bsky.social
www.continuousvariation.com/p/smith-keyn...
www.continuousvariation.com/p/smith-keyn...
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
#quant #quantsky #finance #markets #python #investing #cvar #risk #tailrisk
Some people question whether CVaR optimization is feasible for high-dimensional portfolios.
Below is a Python case study that optimizes the 95%-CVaR over 10000 joint scenarios for 2000 stocks.
#quant #quantsky #cvar #python #risk #investing
It presents some important points that explain how mean-variance is a simple subset of mean-CVaR when return distributions are elliptical.
antonvorobets.substack.com/p/3-mean-cva...
#finance #markets #quant #quantfinance
It presents some important points that explain how mean-variance is a simple subset of mean-CVaR when return distributions are elliptical.
antonvorobets.substack.com/p/3-mean-cva...
#finance #markets #quant #quantfinance
#FoolishPrizes
4/29
Family guy
Wacky waving inflatable arm flailing tube man
not really a song, but...
www.youtube.com/watch?v=cvaR...
#FoolishPrizes
4/29
Family guy
Wacky waving inflatable arm flailing tube man
not really a song, but...
www.youtube.com/watch?v=cvaR...
Read more here: substack.com/profile/1707...
#quant #quantsky #finance #markets #python #investing #investment #trading #volatility #cvar
Read more here: substack.com/profile/1707...
#quant #quantsky #finance #markets #python #investing #investment #trading #volatility #cvar
Anne Frank - 13 January 1943
Anne Frank - 13 January 1943
Lead by @carrasco-jig.bsky.social, together with @mariegodin.bsky.social, @cvar-sil.bsky.social and yours truly.
Open Access here:
doi.org/10.1057/s415...
Lead by @carrasco-jig.bsky.social, together with @mariegodin.bsky.social, @cvar-sil.bsky.social and yours truly.
Open Access here:
doi.org/10.1057/s415...
"Tonight's build has a cvar enabled to remove rep requirements from missions, so you will see many extra missions that are normally locked behind reputation gains"
can we do this with all EVO/PTU builds more often please?
"Tonight's build has a cvar enabled to remove rep requirements from missions, so you will see many extra missions that are normally locked behind reputation gains"
can we do this with all EVO/PTU builds more often please?
Boomers: reduce σ
Gen X: increase e(r)
Millennials: CVaR
Zed: platykurtosis
Boomers: reduce σ
Gen X: increase e(r)
Millennials: CVaR
Zed: platykurtosis
👨🏫 together with @cvar-sil.bsky.social
👨🏫 together with @cvar-sil.bsky.social
This article summarizes the main differences and perspectives.
Accompanying Python code and a video walkthrough are also available.
#quant #quantsky #finance #markets #python #investing #cvar #variance #risk