Hi people, I create this post to share a new portfolio optimization technique, that I developed for my thesis. This technique allows to increase robustness and diversification in investment portfolios. You can check a Python example in this link and the paper in this link. In the following image you can compare the sensibility of assets weights from mean variance portfolio against a near optimal portfolio when we have errors in the estimation of mean vector and covariance matrix.

https://preview.redd.it/ltxyqojqhiy51.png?width=905&format=png&auto=webp&s=8abdfebe38df9bae152b131c62ae8f5688ae9cf9

I would appreciate your comments and thoughts about my model :)

Hello! I am doing a project for my theory of finance course.

We had to select 4 canadian stocks and find returns and covariance matrix, which I did here https://gyazo.com/7e16658a8a7e5d72e20295dabbf59a73

The following question is asking me to calculate the weight of the risky assets (Y) using this formula: https://gyazo.com/dee1987836d4e404ede44d1ec8ad96d3

I am quite Rusty with Excel and have no idea how I would even start breaking down this formula using mmult and transpose functions. I am also confused with the formula itself if someone could please help clarify the parts of the equation, mostly the "1" which is supposed to be a unit of ones unit Vector. RF rate is 1%, Coefficient of risk aversion is 4 Any help to point me in the right direction would be greatly appreciated!

I don't want to step on anybody's toes here, but the amount of non-dad jokes here in this subreddit really annoys me. First of all, dad jokes CAN be NSFW, it clearly says so in the sub rules. Secondly, it doesn't automatically make it a dad joke if it's from a conversation between you and your child. Most importantly, the jokes that your CHILDREN tell YOU are not dad jokes. The point of a dad joke is that it's so cheesy only a dad who's trying to be funny would make such a joke. That's it. They are stupid plays on words, lame puns and so on. There has to be a clever pun or wordplay for it to be considered a dad joke.

Again, to all the fellow dads, I apologise if I'm sounding too harsh. But I just needed to get it off my chest.

In March 2019, Ben Felix wrote a white paper on factor investing with ETFs for canadians, which opened up the debate about whether publicly avaliable ETFs offer adequate factor exposure to enjoy the potential benefits of factor investing after fees. I've decided to do a similar analysis for Belgians. I'll start out with a brief theoretical explanation of factor investing and an overview of historical risk premiums to then discuss how Belgians can implement this into their portfolios.

Brief History of Factor Investing

Even though financial markets have existed for centuries, the behavior of stock prizes has puzzled investors for a long time, perhaps giving stocks a speculative reputation.

It wasn't until Harry Markowitz came up with his Portfolio Optimization Model in the 50s, through which he basically founded Modern Portfolio Theory, that the pieces of the puzzle slowly started to fall into place. Looking back, his rationale was pretty straight forward: 1) calculate the average return for different stocks, the variance of those returns and the covariance between the returns of different stock, 2) calculate the efficient frontier, which is a graphical representation of all portfolios that maximize returns for a given amount of risk, 3) choose the portfolio that is characterised by the amount of risk that you, as an investor, are comfortable with. Even though Markowitz's approach was revolutionary, it suffers from two major flaws:

1. It requires the investor to calculate a huge number of metrics, specifically if many stocks are involved (imagine manually building a covariance matrix for thousands of stocks).
2. It's backward looking and doesn't really tell us much about future expected returns.

Later, in the early 60s, William Sharpe, Jack Treynor, John Lintner and Jan Mossin came up with the Capital Asset Pricing Model (CAPM), which lookes like this:

ERi ​= Rf​ + βi(ERm​−Rf​)

where:

• ERi ​= expected return of investment
• Rf​ = risk-free rate
• βi​ = beta of the investment
• (ERm​−Rf​) = market risk premium​

They theorized that, if markets are efficient, expected returns should be in line with a security's

Once I have two efficient portfolios how do I calculate their covariance? I don't think the way I did it is correct.

maxsr<-c(max_sr$Risk,max_sr$Return)

minvar<-c(min_var$Risk,min_var$Return)

p_cov<-cov(minvar,maxsr)

Edit full code:

#loading libraries

install.packages("DT")

install.packages("rmdformats")

install.packages("scales")

install.packages("plotly")

library(plotly)

library(scales)

library(rmdformats)

library(tidyverse)

library(tidyquant)

library(lubridate)

library(timetk)

library(knitr)

library(DT)

library(PerformanceAnalytics)

#load excel file with table 2 Chapter 3

library(readxl)

Chapter3_Table_2 <- read_excel("C:/Users/matti/OneDrive/Desktop/Tesi di laurea/CHapter3_Table_2.xlsx")

View(Chapter3_Table_2)

#isolating a string with the EURO STOXX 50 constituents

eurostoxx <- Chapter3_Table_2 [,2]

View(eurostoxx)

#downloading stock info from Yahoo Finance

stoxx_data <- tq_get(eurostoxx

, get = "stock.prices"

, from = "2020-12-24"

, to = "2021-12-24")

#calculating the stocks's logarithmic returns

stoxx_returns <- stoxx_data %>%

group_by(RIC) %>%

tq_transmute(select = adjusted,

mutate_fun = periodReturn,

period = 'daily',

col_rename = 'returns',

type = 'log')

#transforming the data in a time series

stoxx_returns_xts <- stoxx_returns %>%

spread(RIC, value = returns) %>%

tk_xts()

#eliminating rows with N/A values

stoxx_ret <- na.omit(stoxx_returns_xts)

#calulating daily average returns for each stocks

stoxx_means <- as.data.frame(colMeans(stoxx_ret))

colnames(stoxx_means) = paste("Daily Returns")

view(stoxx_means)

#calculating the var-covar matrix

cov_mat <- cov(stoxx_ret)

view(cov_mat)

#calculating annual returns and annual var-covar matrix

stoxx_means_yearly<- stoxx_means*252

cov_mat_yearly<- cov_mat*252

view(stoxx_means_yearly)

view(cov_mat_yearly)

#creating weights to perform optimization

eurostoxx_wts<-transpose(eurostoxx)

view(eurostoxx_wts)

wts<- runif(n=length(eurostoxx_wts))

print(wts)

print(sum(wts))

#imposing the constraint weights sum = 1

wts<-wts/sum(wts)

print(sum(wts))

#calculating the portfolio's returns

#as indicated in Markowitz's model

port_ret<- sum((wts*stoxx_means_yearly))

print(port_ret)

#calculating portfolio's volatility

port_risk<- sqrt(t(wts)%*%

(cov_mat_yearly%*%wts))

print(port_risk)

#creating 100

Do your worst!

I'm surprised it hasn't decade.

For context I'm a Refuse Driver (Garbage man) & today I was on food waste. After I'd tipped I was checking the wagon for any defects when I spotted a lone pea balanced on the lifts.

I said "hey look, an escaPEA"

No one near me but it didn't half make me laugh for a good hour or so!

Edit: I can't believe how much this has blown up. Thank you everyone I've had a blast reading through the replies 😂

It really does, I swear!

They’re on standbi

Pilot on me!!

• If you find your book in the thread below, send the number of the book via reddit chat or via telegram .
• Almost all the books are in their latest editions and some of them are available in multiple editions too
• Books (pdf) are delivered through Google-Drive link
• You can also send requests via reddit chat or by telegram .
• Also, upvote the post if you found it useful

Please find the list below:

29239. (eBook PDF)Principles of Environmental Engineering and Science by Susan J. Masten and Mackenzie L. Davis

29240. (eBook PDF)Building Intelligent Cloud Applications: Develop Scalable Models Using Serverless Architectures with Azure by John Biggs, Vicente Herrera García, Jose Luis Calvo Salanova

29241. (eBook PDF)Ten Arguments For Deleting Your Social Media Accounts Right Now by Jaron Lanier

29242. (eBook PDF)A Visual Guide to Financial Statements: Overview for Non-Financial Managers & Investors by Thomas R. Ittelson

29243. (eBook PDF)Deep Reinforcement Learning: Frontiers of Artificial Intelligence by Mohit Sewak

29244. (eBook PDF)Java Deep Learning Projects: Implement 10 real-world deep learning applications using Deeplearning4j and open source APIs by MD Rezaul Karim

29245. (eBook PDF)Hands-On Machine Learning with Scikit-Learn and TensorFlow: Concepts, Tools, and Techniques to Build Intelligent Systems by Aurélien Géron

29246. (eBook PDF)Risk-Return Analysis Volume 3 by Harry M. Markowitz

29247. (eBook PDF)The Creativity Code: Art and Innovation in the Age of AI by Marcus du Sautoy, Rich Keeble

29248. (eBook PDF)The Golden Dawn: The Original Account of the Teachings, Rites, and Ceremonies of the Hermetic Order by Israel Regardie, John Michael Greer

29249. (eBook PDF)Handbook of Deep Learning Applications by Valentina Emilia Balas, Sanjiban Sekhar Roy, Dharmendra Sharma, Pijush Samui

29250. (eBook PDF)Deep Learning for NLP and Speech Recognition by Uday Kamath, John Liu, Jimmy Whitaker

29251. (eBook PDF)Deep Learning for Search by Tommaso Teofili

29252. (eBook PDF)Introduction to Deep Learning by Eugene Charniak

29253. (eBook PDF)Blitzscaling: The Lightning-Fast Path to Building Massively Valuable Companies by Reid Hoffman, Chris Yeh, Bill Gates

29254. (eBook PDF)Voices for Animal Liberation: Inspirational Accounts by Animal Rights Activists by Brittany Michelson

29255. (eBook PDF)Financial Shenanigans: How to Detect Accoun

Yesterday I witnessed a coworker complaining about his investment in BTC. He has bought it for the first time at $49k and it went down to $47k the day after. Talking to him, I discovered he put $100 and was expecting to have $1000 until the end of the year with no additional investment!

Of course, investing in BTC is still very risky, and the returns are much higher, comparing with another assets, as stocks. However, what's riskier? I man buying $100 in BTC in 2011 or a man buying $100 in BTC in 2021?

A man buying $100 in BTC in 2011 theoretically deserves to be more rewarded than a man buying the same amount of BTC nowadays, because he was incurring in much higher risks.

Some of the traditional investment theories and models correlate risks and returns, as the Markowitz Theory and the CAPM model. Both say: higher the risks, higher the returns!

So don't expect to get rich with a $100 investment in BTC. Despite of all the high risk involved, it's not enough to make you rich anymore.

Nothing, he was gladiator.

Dad jokes are supposed to be jokes you can tell a kid and they will understand it and find it funny.

This sub is mostly just NSFW puns now.

If it needs a NSFW tag it's not a dad joke. There should just be a NSFW puns subreddit for that.

Edit* I'm not replying any longer and turning off notifications but to all those that say "no one cares", there sure are a lot of you arguing about it. Maybe I'm wrong but you people don't need to be rude about it. If you really don't care, don't comment.

When I got home, they were still there.

What did 0 say to 8 ?

" Nice Belt "

So What did 3 say to 8 ?

" Hey, you two stop making out "

I won't be doing that today!

[Removed]

You take away their little brooms

This morning, my 4 year old daughter.

Daughter: I'm hungry

Me: nerves building, smile widening

Me: Hi hungry, I'm dad.

She had no idea what was going on but I finally did it.

Thank you all for listening.

There hasn't been a post all year!

1. The great actor David Gulpilil has passed away (NYT).

2. MR links circa 2010.

3. How should they redesign the interior of Notre Dame?

4. Can the Markowitz model help to save coral reefs?

5. 100 people held for more than 20 years in “institutions.”  Ugh.

6. Trevor Bedford estimates on Omicron.  And did Omicron evolve from an animal host?

The post Thursday assorted links appeared first on Marginal REVOLUTION.

        [

Comments

](http://marginalrevolution.com/margina

Why

It’s pronounced “Noel.”

After all his first name is No-vac

What, then, is Chinese rap?

Edit:

Notable mentions from the comments:

• Spanish/Swedish/Swiss/Serbian hits

• French/Finnish art

• Country/Canadian rap

• Chinese/Country/Canadian rock

• Turkish/Tunisian/Taiwanese rap

There hasn't been a single post this year!

(Happy 2022 from New Zealand)

Nothing, it just waved

Him: I can explain everything!

(It's his best joke yet I think)

Hi there,

I have been trying to wrap my head around single GPU passthrough for the last week and I fail to see what's wrong here.

First things first , my specs:

• X570 motherboard (Asus TUF gaming plus, the non-wifi one)
• Ryzen9 5900X (with PBO enabled but I don't think it matters)
• Radeon 6900XT
• BIOS: I enabled everything I could find related to virtualization
• Host: Arch with 5.14.8 zen kernel

I'm happy with my Arch install but I would like to be able to check out the few rare games that are not working with Proton or any other Wine flavor (looking at you New World).I've followed so many tutorials, most of them being for NVIDIA cards, but from what I gathered we add hook scripts to stop the display manager, unload the drivers using the graphics card, attach it to the VM and do all of those in reverse but exiting the VM.

I've reached a point where I can launch my win10 VM though my GPU with my keybard, mouse and wireless headset. So what's my problem then?

Well, my GPU is not recognized by Windows' devide manager and if I try to install the amd drivers for a 6900XT it basically bricks my VM (black screen past the bios) and I have to erase the volume and reinstall W10.

And here are my config files:

#start.sh
#!/bin/bash
set -x

# Load vars
source "/etc/libvirt/hooks/kvm.conf"
 
# Stop display manager
systemctl stop sddm.service
 
# Avoid race condition
sleep 5

# Unload AMD Kernel modules
modprobe -r amdgpu
 
# Load VFIO Kernel modules
modprobe vfio
modprobe vfio_pci
modprobe vfio_iommu_type1
 
# Unbind GPU
virsh nodedev-detach $VIRSH_GPU_VIDEO
virsh nodedev-detach $VIRSH_GPU_AUDIO
virsh nodedev-detach $VIRSH_GPU_USB
virsh nodedev-detach $VIRSH_GPU_SERIAL



#revert.sh
#!/bin/bash
set -x
 
# Load vars
source "/etc/libvirt/hooks/kvm.conf"
 
# Unload vfio modules
modprobe -r vfio_pci
modprobe -r vfio_iommu_type1
modprobe -r vfio
 
# Attach GPU/devices to host
virsh nodedev-reattach $VIRSH_GPU_VIDEO
virsh nodedev-reattach $VIRSH_GPU_AUDIO
virsh nodedev-reattach $VIRSH_GPU_USB
virsh nodedev-reattach $VIRSH_GPU_SERIAL

# Load AMD Kernel Modules
modprobe amdgpu
 
# Restart DM
systemctl start ssdm.service



#kvm.conf
VIRSH_GPU_VIDEO=pci_0000_0c_00_0
VIRSH_GPU_AUDIO=pci_0000_0c_00_1
VIRSH_GPU_USB=pci_0000_0c_00_2
VIRSH_GPU_SERIAL=pci_00

Bob

So that I could frequently say, "I am going to walk 5 miles now."

Edit: My most popular post on Reddit! 😀 Thank you for the awards.