Financial Engineering

The Copula and 2008

The Copula and 2008

DJ Rich

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

The Fundamental Law of Active Management

DJ Rich

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.