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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 22 Feb 2021

      Good morning to everyone except people who use a sample covariance matrix in their portfolio optimiser.

      6 replies 4 retweets 72 likes
    2. Lukas Tilmann‏ @LTilmann 23 Feb 2021
      Replying to @macrocephalopod

      I'm writing my thesis on something related and I'd be curious about what is commonly used instead?

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 23 Feb 2021
      Replying to @LTilmann

      macrocephalopod Retweeted macrocephalopod

      Lots of methods (eg shrinkage, clipping small eigenvalues) but most common approach I’ve seen is to use a covariance matrix derived from a factor model —https://twitter.com/macrocephalopod/status/1356731277337108482 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      A few people in the DMs asking about equity factor models so here's a short explainer. Let's make it a concrete problem -- you are the risk manager at a big multi-manager hedge fund with ~100 sub-PMs each of whom has a portfolio of 10-50 stocks, long and short.
      Show this thread
      5:13 AM - 23 Feb 2021
      • 6 Likes
      • tanaka Jose P Dapena Covariance Matrix CRE Lukas Tilmann
      1 reply 0 retweets 6 likes
        1. Lukas Tilmann‏ @LTilmann 23 Feb 2021
          Replying to @macrocephalopod

          Thank you! I've come across those in research papers, but I've always been wondering what the popularity of those methods actually is in the real world.

          0 replies 0 retweets 0 likes
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