Quantamental Research

Applications of Time Series Analysis (ARMA-GARCH) To Improve Risk-Adjusted Return Screening Procedures.

Image for post
Image for post

You have been given the daily returns of several strategies / funds over the past year, how would you determine which one provides the best investment opportunity given only this information?


Image for post
Image for post
Photo by Gary Saldana on Unsplash

The Rational Investor Allocation

This is the portfolio the so called “rational investor” would choose as clearly no one would want a portfolio that did not generate the best risk adjusted return right?


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

Image for post
Image for post

A company’s performance relative to its peers will be ultimately driven by management’s strategic decision making ability to drive growth and position the organisation for changing market conditions.

Quantamental Research

The UCD Investors & Entreprenuers Finance Research Publication

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store