By Nico, Yi and Chris Portfolio Allocation This section allocates portfolio by incorporating the Gerber Statistic, Factor Modelling, and the Hierarchical Risk Parity framework. The Gerber Statistic is aimed to improve the correlation/covariance matri... [Read more...]

By Yi, Nico, and Chris Summary Recently new research has appeared on using a co-movement measure to construct the covariance matrix as part of the Modern Portfolio Theory (MPT) style portfolio construction. Below is the abstract of the Gerber, Markowith and Pujara (2015) paper whose methodology is also currently patent pending: ... [Read more...]