Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
5,922 documents
The note answers a data sourcing question about retrieving the underlying stock positions of ETFs, represented by their CIKs, from SEC EDGAR. Since ETF holdings change over time, the questioner wants to query the information monthly. The proposed source is…
The document asks how to test whether rebalancing a portfolio of assets could benefit from mean-reverting behavior. It contrasts this portfolio question with applying a Dickey–Fuller test to a single time series, which can assess evidence of mean reversion…
The document addresses how to identify periods when a portfolio and its benchmark diverge despite having high correlation over a full evaluation period. It offers two exploratory approaches: plot the portfolio-minus-benchmark spread and inspect intervals…
The document raises a portfolio optimization issue: a turnover constraint with a target of zero appears not to preserve user-specified starting weights. In the example, the author sets four initial asset weights, applies box and return and risk objectives,…
The document asks how to preserve fair ownership shares when several people jointly hold an asset whose value changes over time. It illustrates an initial pool funded by three contributors, followed by appreciation and a later cash contribution from one…
This document collects recommended books and papers across quantitative finance, including asset pricing, portfolio allocation, option theory, stochastic calculus, derivatives by asset class, risk management, statistics, machine learning, programming,…
The document asks how to apply a scenario in which the stock portion of a portfolio falls while the bond and commodity positions are left unchanged. It illustrates a direct repricing approach: apply the assumed percentage loss to the stock holding, retain…
The document addresses an apparent mismatch between CRRA and Epstein–Zin utility in a two-period consumption problem. In the final period, the stated Epstein–Zin value function is linear in remaining wealth, whereas the CRRA value function appears curved.…
The document asks how to assign returns to five qualitative view levels—very bullish, bullish, neutral, bearish, and very bearish—using standard-deviation thresholds and a time-varying volatility series. It includes an attempted Python procedure that…
Portfolio skewness can be calculated either from the portfolio’s return series or by combining asset-level moments with portfolio weights. The document explains that joint third moments form a rank-three co-skewness tensor, with entries estimated from…
The discussion considers how to calculate monthly cash flows across a large portfolio of loans with varied terms, including rate resets, caps, floors, balloon payments, and prepayment assumptions. Suggested approaches include using a financial software…
The note explains how to include an ETF in a Monte Carlo portfolio VaR model when its full holdings are unknown. Its proposed approach is to treat the ETF as one instrument and model its returns like those of an individual stock, rather than estimating and…
The document asks how to divide a fixed history between parameter development and out-of-sample validation when deciding whether to add an independent strategy to a portfolio. It offers no universally supported split: the best choice depends on the data and…
The document states a quadratic mean–variance utility objective, with expected portfolio return as the reward and return variance penalized by a risk-aversion coefficient. It asks for a textbook reference supporting the familiar expression for optimal…
The document considers how to score portfolio diversification using correlation with a reference portfolio. It asks whether a negative correlation should receive a higher diversification score than correlation near zero. The response argues that, when the…
The document sketches a two-player game between a retail trader and a hedge fund, framing their trading choices as a game-theory assignment to be expressed through linear programming. The retail trader can buy or short, while the fund can buy or sell. The…
The document discusses how to calculate portfolio returns when some constituent stocks have missing monthly returns, using a value-weighted portfolio as its example. It contrasts treating a missing return as zero with calculating the portfolio return from…
The document considers how a mean-variance investor might allocate capital among assets whose returns are independent and whose expected returns exceed a threshold. With independent returns, the covariance matrix is diagonal, so the tangent portfolio weights…
The document presents an attempted mean-variance optimization workflow for a portfolio with lower and upper bounds on asset weights. It first uses a quadratic program to find a global minimum-variance portfolio subject to a budget constraint. It then…
The document examines a proposed position-sizing rule that scales exposure using portfolio capital, a target volatility, instrument volatility and price, and a portfolio-level multiplier. That multiplier is based on the ratio of target volatility to lagged…
The document addresses how to use SOFR as the risk-free rate when calculating portfolio statistics such as the Sharpe ratio. The question arises from a multifactor portfolio project using weekly price data and asks whether a quoted SOFR value represents a…
The document raises a core portfolio risk question: whether historical portfolio volatility can be calculated directly from the portfolio return series or whether each asset’s volatility and the covariances among assets must be calculated separately. It…
The document asks how to combine daily equity curves from strategies trading commodities and currencies, with the goal of maximizing the portfolio Sharpe ratio. The reply points to Modern Portfolio Theory and the Markowitz model, which allocates across…
The document examines the claim that any asset with positive volatility must have a negative expected return over a sufficiently long horizon. The argument applies a relation between arithmetic and geometric averages, reasoning that variance drag eventually…