*Why* Does The Lasso Induce Sparsity?

01 June 2024

No, the classic image of the $l_1$ and $l_2$ balls is not a good explanation...

1We review how to describe ellipsoids and formulate an optimization problem to enclose sets of points inside an ellipsoid with minimal volume.

2Searching for Robust Markowitz Portfolios: Part I

12 February 2024

We explore whether the framework of Robust Optimization can help us create good portfolios when we are uncertain about future returns.

3The Sample Efficiency of Markowitz Portfolios

27 January 2024

It's bad...

4The Sharpe Ratio: It Ain't That Sharp

20 January 2024

We review the definition of Sharpe ratio, a widely used metric to measure portfolio performance. We show, when it works, how to create portfolios that optimize for it, and its potentially fatal drawbacks.

5Portfolio Construction: Kelly vs Markowitz

15 January 2024

We briefly review a common approach to portfolio construction based on balancing mean and variance. Then we establish a connection with what Kelly taught us about optimal gambling. Finally, with simulations, I show how one can get wrecked using these tools under the presence of fat tails.

623 November 2023

We derive and discuss the Kelly Criterion, a formula for betting optimally and achieving exponential wealth growth.

7Why You Should Never Buy High Dimensional Watermelons

12 November 2023

We explore the distribution of the volume of high dimensional spheres.

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