Showing 2017 · q-fin.PMShow all
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q-fin.PM2017
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…
q-fin.PM2017
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…
q-fin.PM2017
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…