Portfolio Construction Archives - Simplify Quant

Denoising and Detoning

By Shailendra, FRM, CQF October 21, 2023Portfolio Construction

Denoising and Detoning represent two methodologies employed to enhance the quality of covariance and correlation matrices, pivotal in applications such as portfolio optimization, risk management, and machine learning. Denoising, the process…

Machine Learning for Portfolio Optimization-NCO

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

In recent years, machine learning (ML) techniques have gained popularity in the field of portfolio optimization. One ML-based method that has shown promise is the Nested Clustered Optimization Algorithm (NCO).…

Black-Litterman Model

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

The Black-Litterman asset allocation model provides a methodical way of combining an investor’s subjective views of the future performance of a risky investment asset with the views implied by the…

Modern Portfolio Theory – MPT

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

MPT - Modern Portfolio Theory (MPT), also known as mean-variance analysis, is a mathematical framework that aims to construct portfolios with maximum expected returns for a given level of risk.…

Portfolio Construction – Definition and Steps

By Shailendra, FRM, CQF September 15, 2023Portfolio Construction

Portfolio construction is the art and science of building a custom investment portfolio that meets your unique needs and goals. It's a process that involves carefully selecting and combining different…