Having worked in finance I am a public fan of the Sharpe ratio. I have written about this here and here. One thing I have often forgotten (driving some bad analyses) is: the Sharpe ratio isn’t appropriate for models of repeated events that already have linked mean and variance (such […]
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 […]
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): […]