02 October 2024

In this post we discuss auction basics. We will try to answer questions such as: Does the auction format matter? How should the auctioneer set it? Are some auction formats equivalent to each other? How should advertisers bid?

1*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...

2We review how to describe ellipsoids and formulate an optimization problem to enclose sets of points inside an ellipsoid with minimal volume.

3Searching 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.

4The Sample Efficiency of Markowitz Portfolios

27 January 2024

It's bad...

5The 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.

6Portfolio 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.

723 November 2023

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

8Why 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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