CAPM and Efficient Frontier:
- The Variation of Certain Speculative Prices Benoit Mandelbrot, 1962
- Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk William F Sharpe, 1964
- The Capital Asset Pricing Model: Some Empirical Tests, F Black, M Jensen, M Scholes, 1972
- Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios F Black, 1995
- The Makowitz Optimization Enigma: Is Optimized Optimal?, Richard Michaud, 1989
- Asset allocation:combining investor views with market equilibrium, F Black, R Litterman, 1990
- Efficient Asset Management Richard Michaud, 1998
- Modern Portfolio Theory, 1950 to Date, E Edwin, M Gruber, 1997
- Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, O Ledoit, M Wolf, 2000
- Deconstructing Black-Litterman: How to Get the Portfolio You Already Knew You Wanted, R Michaud, R Michaud, 2012
- Robust Asset Allocation for Robo-Advisors, T Bourgeron, E Lezmi, T Roncali, 2018
- A Robust Estimator of the Efficient Frontier M Lopez de Prado, 2019
Factor Portfolios:
- The Cross-section of Expected Stock Returns Eugene Fama, Kenneth French, 1992
- Common risk factors in the returns on stocks and bonds Eugene Fama, Kenneth French, 1993
- A five-factors Asset Pricing Model Eugene Fama, Kenneth French, 2015
- Choosing Factors Eugene Fama, Kenneth French, 2018
- Which Factors Kewei Hou,Haitao Mo,Chen Xue,Lu Zhang 2018
- q5 Kewei Hou,Haitao Mo,Chen Xue,Lu Zhang 2018
Deep Learning
- Deep Learning, Lecun 2015
- Attention is all you need
- Toy Models of Superposition, Anthropic 2022 or as pdf
Investment Timing
- Explaining the recent failure of value investing Baruch Lev, Anup Srivastava, 2019
- Understanding the performance of the Equity Value Factor by Thierry Roncali, Lauren Stagnol, 2021
- rInvesting in deflation, inflation, and stagflation regimes Guido Baltussen, Laurens Swinkels, Pim van Vliet, 2022
- A Multicentenial View of Trend Following
- Two Centruries of Trend Following by Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. P. Bouchaud 2014, monthly signal on $s_t=\frac{P_t-Ewm(5)}{\sigma(5)}$ where $\sigma(5)$ is the ewma of absolute price move. Sharpe ratio of 0.8.
- Trend Following, Quality not Quantity Anthony Todd, Martin Lueck, 2016. Evaluates 13 trend following strategies on 146 asset vs their current one. They all have roughly 1 sharpe ratio. There is no diversification benefit mixing trend follow strategy. The paper does not specify sharpe ratio by strategy, trading costs, trading frequency, or compare theoretical results with their actual.
- Evaluating Trading Strategies Campbell Harvery and Yan Liu, 2014, for a single test, $t-stat = SR x \sqrt{nb years}$ the best test out of $n$ sees its t-stat divided by $n$ according to the Bonferroni correction. Authors suggest using BHY correction to ensure p-values are significant.
- Black Box Trend Following - Lifting the Veil Nigol Koulajian Paul Czkwianianc 2010. Point out at crossover strategies from 10-100 to 10-200 all outperform big CTA, but the latter use the longer lookback to reduce trading frequency. The shorter lookback periods allow for smaller drawdowns.
- Risk Management Ed Seykota 2005. Quotes Kelly and otherwise advises MC for position sizing.
Fundamentals:
- Capital Allocation Michael Mauboussin, Dan Callahan 2022
Fun Article:
- New approach to solving the cubic: Cardan's solution revealed by R W D Nickalls
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