How I Think About Portfolio OptimizationDeMiguel, Garlappi, and Uppal (2009) summarize the current state of academic thinking about applied portfolio optimization:Aug 18, 2024Aug 18, 2024
How to Estimate a Sharpe Ratio With Aggregated DataSometimes you want to estimate a Sharpe Ratio, but you don’t have a clean return time series i.e., the return data is available at…Jun 6, 2022Jun 6, 2022
Am I a Good Investor? How Long Should a Performance Track Record Be To Know For SureThe following post focuses on using performance data to evaluate the quality of a trader or investment manager. To be sure, qualitative…Jun 5, 2022Jun 5, 2022
The Marginal Sharpe Ratio: A New Heuristic for Asset SelectionPortfolio optimization strategies typically involve an unintuitive procedure that combines individual assets’ expected returns, individual…Jun 5, 2022Jun 5, 2022
Communal Equity: a New Model for Crypto Startup FinancingLast September, the Wall Journal Journal reported that the SEC started investigating Uniswap for violation of securities regulations. Since…Feb 27, 2022Feb 27, 2022
A Brief History of Uniswap and Its MathAn automated market maker (AMM) is an algorithmic method for price discovery in a given market. This contrasts with the order book model…Feb 27, 20224Feb 27, 20224
How Centralized Finance Rips Off Ordinary AmericansThis post is a tale of two stories. The first is a story about how antiquated technology and regulations give a small cabal of Wall Street…Jun 29, 2021Jun 29, 2021
Bitcoin Wasn’t Designed to Be “Cheaper or Faster”Lee Reiners of Duke Law recently wrote an op-ed for the Wall Street Journal where he states, “I have yet to identify a single task or…May 25, 2021May 25, 2021
A Primer on DeFi Due DiligenceIn the following post, I look at the recent hack on Uranium Finance (Binance Smart Chain), identify points of failure and make suggestions…May 1, 2021May 1, 2021
The Slippage Ratio: A New Metric to Understand Curve.fi’s AMM ProtocolThe Curve Whitepaper concisely highlights an approach to building an AMM that allows developers to control slippage. Curve’s primary use…Dec 18, 20201Dec 18, 20201
