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“Easy” Portfolio Allocation

This is an elementary mathematical finance article. This means if you know some math (linear algebra, differential calculus) you can find a quick solution to a simple finance question. The topic was inspired by a recent article in The American Mathematical Monthly (Volume 117, Number 1 January 2010, pp. 3-26): […]

The Data Enrichment Method

We explore some of the ideas from the seminal paper “The Data-Enrichment Method” ( Henry R Lewis, Operations Research (1957) vol. 5 (4) pp. 1-5). The paper explains a technique of improving the quality of statistical inference by increasing the effective size of the data-set. This is called “Data-Enrichment.” Now […]

A Quick Appreciation of the Sharpe Ratio

The current state of the global financial markets has gotten more people than usual worrying about the technical aspects of finance. One method for reasoning about investment returns and risk is a tool called the Sharpe Ratio. It is well worth reviewing this measure and seeing how, if used properly, […]