Quantitative research
We build mathematical models that turn market data into portfolio decisions.
Each study starts from a question raised in the academic literature. We test our answer on decades of historical data, after trading costs and against simple benchmarks, and then move it into paper trading, where it runs forward on markets it has never seen.
Studies
Reading list
Building portfolios
- [1]
Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77–91.
- [2]
Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management 30(4), 110–119.
- [3]
Jorion, P. (1986). Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis 21(3), 279–292.
- [4]
DeMiguel, V., Garlappi, L. and Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Review of Financial Studies 22(5), 1915–1953.
- [5]
DeMiguel, V., Garlappi, L., Nogales, F. J. and Uppal, R. (2009). A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science 55(5), 798–812.
Robust optimisation
- [6]
Garlappi, L., Uppal, R. and Wang, T. (2007). Portfolio selection with parameter and model uncertainty: A multi-prior approach. Review of Financial Studies 20(1), 41–81.
- [7]
Scherer, B. (2007). Can robust portfolio optimisation help to build better portfolios? Journal of Asset Management 7(6).
- [8]
Kim, W. C., Kim, J. H., Ahn, S. H. and Fabozzi, F. J. (2013). What do robust equity portfolio models really do? Annals of Operations Research 205, 141–168.
- [9]
Gotoh, J., Kim, M. J. and Lim, A. E. B. (2020). Calibration of distributionally robust empirical optimization models. arXiv:1711.06565.
- [10]
Cornuéjols, G., Elçi, Ö. and Patil, V. (2024). Addressing estimation errors on expected asset returns through robust portfolio optimization. Optimization Online.
Testing results
- [11]
Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15(5), 850–859.
- [12]
Bailey, D. H. and López de Prado, M. (2014). The deflated Sharpe ratio: correcting for selection bias, backtest overfitting, and non-normality. Journal of Portfolio Management 40(5), 94–107.