Writing

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.

The Exponential Family

The Exponential Family

DJ Rich

The exponential family is a generalization of distributions, inclusive of many familiar ones plus a universe of others. The general form brings elegant properties, illuminating all distributions within. In this post, we discuss what it is, how it applies and some of its properties.

The Trace as a Measure of Complexity

The Trace as a Measure of Complexity

DJ Rich

For a class of models, the trace provides a measure of model complexity that's useful for managing the bias variance trade-off.

The Conjugate Gradient Method

The Conjugate Gradient Method

DJ Rich

Utilizing a geometric perspective, we find an efficient algorithm for solving a special kind of system of equations.