An appreciation of Cover’s universal portfolio in Python
I have a new theoretical finance note up: an appreciation of Cover’s universal portfolio in Python.
Fast Portfolio re-Balancing as a Fractional Linear Program
Fast Portfolio re-Balancing as a Fractional Linear Program is an example of the kind of work we have done encoding client problems (in this case optimal portfolio selection) as optimization problems (so we can use purchased software to solve them). Its a bit mathy- but we are excited we got […]