Roman | PortfolioOptimizer.io @portfoliooptim
Democratizing access to the Nobel Prize-winning science of portfolio optimization. Free Web #API available at https://t.co/Sc4wrvf02k. portfoliooptimizer.io France Joined July 2021-
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Such a machinery is typically used in risk model integration, and the udnerlying mathematical problem is to ensure the resulting global matrix is valid (semi-definite positive). A blog post will follow at some point.
New Portfolio Optimizer Web API endpoints to compute an aggregated correlation/covariance matrix from: - A global matrix - Local matrices which provide detailled information about blocks of assets that must be integrated into the global matrix
New blog post about the Harrell-Davis quantile estimator and its usage for Value-at-Risk estimation (univariate VaR and marginal VaRs) -> portfoliooptimizer.io/blog/value-at-…
@__paleologo I applaude your efforts in several tweets to explain to random anons the "Musk situation", but I fear, as we say in French, that it's like "pisser dans un violon"...
@JulienTechInvst Ça dépend ce qu'on appelle "AT". Le momentum, c'est documenté en 52 nuances...
@BetterCallMedhi "dans 10 ans quand Washington voudra punir un pays en lui coupant l’IA, ce pays tournera déjà sur des poids chinois depuis 5 ans" -> Un pays sauf en Europe hein !
@ChicagoBoyFR Triste boîte dont la seule ambition est de virer des gens... Pas de vision produit, client... ?
@__paleologo I see, thanks.
@peter_szilagyi “Once men turned their thinking over to machines in the hope that this would set them free. But that only permitted other men with machines to enslave them.” ― Frank Herbert, Dune
This concludes for now this "sprint" of VaR-related developments.
New Portfolio Optimizer Web API endpoints to compute the multivariate Gaussian mixture Value-at-Risk of a portfolio, as well as the associated VaR contributions. This allows to breakdown the VaR of a portfolio per asset and per "regime" (corresponding to a Gaussian mixture).
New Portfolio Optimizer Web API endpoint to fit a multivariate Gaussian Mixture Model to asset returns. This endpoint was long due and will enable to model multivariate Value-at-Risk with such a distribution (think estimating asset VaR contributions per "regime").
Hoping this will be useful for my (small) Switzerland reader base!
Update of Portfolio Optimizer Web API endoints to retrieve long-term (10 years) capital market assumptions: - New leading financial institutions from which CMAs are aggregated - New Switzerland-based asset classes - New Web API endpoing to retrieve CHF-based CMAs
@BetterCallMedhi C'est marrant - j'ai aussi fait prépa grâce à mon prof de maths de terminale qui m'a dit qu'aller en DEUG MIAS (info/maths) c'était pas ce qu'il me recommandait. J'étais pas en ZEP ceci dit, mais jamais entendu parlé de prépa avant ça, même des conseillers d'orientation...
@stanislavfort Disagree. Sounds awefully like an hallucination of references, before the AI area.
@ArtemisConsort For my (technical) blog posts, I have the habit of referencing papers, and very frequently I find that results attributed to some of them are really far from what's inside. Really important to read that shitton of papers!
New Portfolio Optimizer Web API endpoint to compute Gaussian Value-at-Risk contributions (marginal VaR, component VaR and % component VaR). This completes the delta-normal/variance-covariance implementation of Value-at-Risk in Portfolio Optimizer.
New Portfolio Optimizer Web API endpoint to compute empirical Value-at-Risk contributions (marginal VaR, component VaR and % component VaR). A blog post will follow shortly, detailling for example the Harrell-Davis quantile estimator, taylored for the "historical VaR" use-case.
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