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Quantamental Research

Data Science

In Quantamental Research. More on Medium.

Applications of Monte Carlo Methods

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The Rational Investor Allocation

Markowitz Portfolio Optimisation seeks to find a set of weights for N assets in a portfolio such that the risk adjusted return of the portfolio is maximised (aka the Sharpe Ratio).

Let us introduce this with a little bit of mathematics to accompany this. Capital “Sigma” is the covariance matrix of asset returns, with entries measuring the strength with which one assets returns tend to move…


Applications of Change-point Detection, Cox Regression, and Bayesian Hierarchical Models

Whilst investors ultimately care about picking stocks with management teams that can generate returns for shareholders, it is also important to be able to correctly time these investments or trades. An extreme example would be to short a stock that where goes bankrupt, but in the near term skyrockets, forcing you to close at a loss.

Quantamental Research

The UCD Investors & Entreprenuers Finance Research Publication

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