Home

What I learned from traveling across the world for 7 weeks

Ok so technically I went "around" the world: NY->Vietnam->Cambodia->Thailand->Singapore->Hawaii->NY. But mainly I did my adventuring in Southeast Asia. What did I learn?
  • I dislike being non-"productive". I didn't get to work on my programming projects while traveling, and sometimes I wished I had gotten the chance to. I guess more time spent on traveling, self-development, gaining perspective means less time spent ...
    Continue reading
/ Life

adaptivwealth.com: sign up now for free trade alerts, other features

www.adaptivwealth.com Sign up now before the month's end: free monthly trade email alerts, both position entry and position exit reminders, have been implemented. The emails are sent out automatically by the backend a day before entry or exit. Positions are exited on the last trading day of every month; new positions are entered on the first trading day of the ...
Continue reading
/ Adaptive Asset Allocation

adaptivwealth: the new web app that I made to bring adaptive asset allocation to the masses

adaptivwealth: www.adaptivwealth.herokuapp.com I recently finished the beta version of a web app I've been building, a web app that brings adaptive asset allocation to the masses. What is adaptive asset allocation? I've written about it in several previous posts. Essentially, it's the idea that traditional Markowitz mean-variance asset allocation can be improved--generating portfolios that have better risk-adjusted performance--by making the models more ...
Continue reading
/ Projects, Adaptive Asset Allocation

Adaptive Asset Allocation: update to reflect investor data constraints

I realized that the portfolios presented so far would be pretty difficult for the individual retail investor to implement due to data constraints. The problem Say today is January 31, and the market has just closed. The adaptive asset allocation portfolios I constructed assume that the investor exists at the close of the last day of the month. Which is ...
Continue reading

Adaptive Asset Allocation: minimum variance portfolios

This is a continuation of my previous post on adaptive asset allocation. Introduction to Mean-Variance Optimization Mean-variance optimization (the implementation of Markowitz's modern portfolio theory) basically allows one to find the optimal weights of assets in a portfolio that maximizes expected return given a level of risk/variance, or equivalently, minimize risk/variance given a level of expected return. The biggest ingredient ...
Continue reading

Adaptive Asset Allocation: momentum and risk parity

Asset allocation is powerful: the famous Brinson, Hood, and Beebower study showed that asset allocation is responsible for 91.5% of pension funds' returns. Not stock selection, not market timing. Also, I need to put my money to work. I don't have time for frequent trading. I don't trust my fundamental analysis, and I know that if I don't have a ...
Continue reading