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Quantocracy’s Daily Wrap for 12/31/2020

DATE POSTED:January 1, 2021

This is a summary of links featured on Quantocracy on Thursday, 12/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Macro variance [OSM]

    In our last post, we looked at using a risk factor model to identify potential sources of variance for our 30,000 portfolio simulations. We introduced the process with a view ultimately to construct a model that could help to quantify, and thus mitigate, sources of risk beyond a simplistic volatility measure. In this post, well look at building a factor model based on macroeconomic variables to
  • The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers [Alpha Architect]

    The American Finance Association Annual Meetings are here. 1 The conference is virtual this year but that doesnt mean the organization hasnt done a good job collecting the brightest minds in academia to discuss hundreds of new finance research papers a gold mine for new and exciting ideas! 2 There is so much research available it is a bit difficult to read it all and many of the

The post Quantocracy’s Daily Wrap for 12/31/2020 appeared first on Quantocracy.