Ebooks & guides
Free access
Systematic Portfolio Optimization: Taming Estimation Error
by A. Boubakri
Free — the complete institutional quant pipeline: RMT spectral filtering, Ledoit-Wolf shrinkage, risk parity (ERC/HRP), HMM regime detection, Half-Kelly sizing under CVaR, and anti-p-hacking audits (DSR, CPCV).
84 pagesLevel: AdvancedFormats: PDF
What you'll learn
- RMT spectral denoising and the Marčenko-Pastur law
- Robust shrinkage: Ledoit-Wolf and OAS estimators
- Risk parity: Equal Risk Contribution and Hierarchical Risk Parity
- Regime detection via Mahalanobis distance and HMM
- Half-Kelly sizing under CVaR constraints
- Anti-p-hacking audit: Deflated Sharpe Ratio and purged CPCV