How I Think About Portfolio OptimizationDeMiguel, Garlappi, and Uppal (2009) summarize the current state of academic thinking about applied portfolio optimization:Aug 18Aug 18
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
The Impermanent Loss Rate of the Uniswap v3 AMMIn a previous post, I introduced a new term called the impermanent loss rate, which measures the cost per annum of delta hedging a…Feb 28, 2022Feb 28, 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
