Great article. I would like to be able to post it directly to my Facebook page and it is not posted to yours. As an aside it seems to me there is a great mental shift for a trader based mentality...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-13404
All Models are Wrong, 7 Sources of Model Risk
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-9445
results which refute them, they are not. Having made this statement some economic models and popular quantitative model assumptions come to mind namely, uncovered interest rate parity (UIP), no...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6868
The inputs into the portfolio optimization problem are the expected returns for each asset, the risk of each asset, and correlations between the assets. Correlation measures the linear relations...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6449
fitness distributions is that fitness values often needs to be sampled which can result in a sampling statistical bias. A useful fitness landscape analysis technique which uses fitness distrib...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6407
All models are wrong but some are useful; as such, the real challenge with computational decision making is that the model is so wrong that it is no longer useful. Some of the problems associa...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6368
one of the problems facing the use of deep neural networks for trading (in addition to the obvious risk of overfitting) is that the inputs into the neural network are almost always heavily pre-p...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6363
The Black Scholes model is used to price specific types of derivatives contracts under a set of assumptions. These assumptions include; (1) there exists a risk free rate, r, at which any amoun...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6361
The use of quantitative models in finance has become almost ubiquitous, yet it seems to me that very few people who use those models know the assumptions upon which the models were built. Mode...
http://www.turingfinance.com/perils-optimization-in-investment-management/#comment-6360