Quantitative Finance

Feb
06
Portfolio Construction Based on Robust Covariance Matrix Estimation

Portfolio Construction Based on Robust Covariance Matrix Estimation

According to the CAPM model, the relationship between premium return of individual share and that of S&P 500
3 min read
Oct
29
Sparse Quasi-Markowitz Portfolio (SQMP)

Sparse Quasi-Markowitz Portfolio (SQMP)

According to a 2020 report, over a 15-year period, nearly 90% of actively managed investment funds failed to beat the
4 min read