Modern portfolio theory
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Risk averse fractional trading using the current drawdown
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
The Kelly criterion in portfolio optimization: a decoupled problem
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
Machine learning for trading
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
Quant of the year: Jean-Philippe Bouchaud
Risk Awards 2017: Physicist takes on classic models with data and empirical research
The missing piece in operational risk appetite
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models