We were visiting a hedge fund some years back when we had our first taste of the problem with mean-variance optimization—the tool advisors use to balance risk and reward in client portfolios. We ...

Many problems in quantitative finance involve both predictive forecasting and decision-based optimization. Traditionally, covariance forecasting models are optimized with unique prediction-based ...

The investment industry is undergoing a transformation that is largely attributable to technological advancements. Investors will benefit from a basic understanding of ML algorithms and the impact ...

The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Somer G. Anderson is CPA, doctor of accounting, and an ...