Papers
The foundational papers of quantitative finance, on a chronological axis. Each one is implemented and its figures redrawn.
1952Harry MarkowitzPortfolio Selection
The first work to frame portfolio selection as a trade-off between expected return and variance.
Status: in progress1964William F. SharpeCapital Asset Prices: A Theory of Market Equilibrium under Conditions of RiskStatus: planned
1989Richard O. MichaudThe Markowitz Optimization Enigma: Is 'Optimized' Optimal?Status: planned
2004Olivier Ledoit, Michael WolfHoney, I Shrunk the Sample Covariance MatrixStatus: planned
1950196019701980199020002010
Optimisation amplifies estimation error in the inputs: the "optimal" portfolio is often the one carrying the most error.
The sample covariance matrix is unstable; shrinkage pulls it toward a structured estimator.
1950196019701980199020002010
1952Harry MarkowitzPortfolio Selection
The first work to frame portfolio selection as a trade-off between expected return and variance.
Status: in progress1964William F. SharpeCapital Asset Prices: A Theory of Market Equilibrium under Conditions of RiskStatus: planned
1989Richard O. MichaudThe Markowitz Optimization Enigma: Is 'Optimized' Optimal?Status: planned
Optimisation amplifies estimation error in the inputs: the "optimal" portfolio is often the one carrying the most error.
2004Olivier Ledoit, Michael WolfHoney, I Shrunk the Sample Covariance MatrixStatus: planned
The sample covariance matrix is unstable; shrinkage pulls it toward a structured estimator.