Financial Engineering
The Copula and 2008
Posted: April 23, 2018
The copula provides a clever means for mixing and matching a set of marginal distributions with the joint-only mechanism of a joint distribution. However, its elegance and utility have been a dangerous lure.
The Fundamental Law of Active Management
Posted: April 05, 2018
The Fundamental Law of Active Management decomposes a well known summarizing metric of an investment strategy. The decomposition yields two dimensions along which all strategies may be judged and suggests avenues for improvement.