17-12-15-(15)-14-(14)
Portfolio Optimization
2.5 Asset Structure
In the previous sections we were looking at single stock and time and asking “Can yesterday predict today?”. Which is realm of Machine #1, which we try to get μ\mu and ∑\sum,…
2.4 Temporal Structure
The other question is: is the stock market a completely random casino, or are there hidden patterns we can predict?, in math jargon terms: If the market is i.i.d.,…
2.3 Non-Gaussianity
Vanilla Markowitz assumes that the stock market behaves like a perfect bell curve, which also known as Gaussian (Normal) Distribution: Gaussian Distribution is very useful for explaining physical concepts…
Optimization
Introduction
In mathematics, computer science, and operations research, Optimization simply means picking the absolute best element from a set of available alternatives. Whether you are an electricity provider figuring out how many power plants to build, or a warehouse manager trying to shorten the distance your workers walk, you are trying to optimize. But how do computers and mathematicians do…