7 citations · 8 across the 9 of their papers we have counts for
10 papers · 1 filter
Machine Learning Risk Models
Zura Kakushadze, Willie Yu
We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on e…
Betas, Benchmarks and Beating the Market
Zura Kakushadze, Willie Yu
We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. T…
Stock Market Visualization
Zura Kakushadze, Willie Yu
We provide complete source code for a front-end GUI and its back-end counterpart for a stock market visualization tool. It is built based on the "functional visualization" concept…
Notes on Fano Ratio and Portfolio Optimization
Zura Kakushadze, Willie Yu
We discuss - in what is intended to be a pedagogical fashion - generalized "mean-to-risk" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalize…
Dead Alphas as Risk Factors
Zura Kakushadze, Willie Yu
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance chara…
Decoding Stock Market with Quant Alphas
Zura Kakushadze, Willie Yu
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with w…