– Merlin Bartel –
I am a researcher in the making in the area of financial data science. My research USP lies in applying an engineering mindset to economic questions.
My primary mission is to build robust tools that keep up with the sea of noise in social data. I am on an academic scavenger hunt to find solutions by taking on different perspectives. I have a strong intuition that never lets me down when I experience obstacles in my research.
In my last post I introduced Fundamental Return Moment Estimation. This short post applies the resulting estimates to build superior minimum variance portfolios. Both standard mean-variance-, as well as minimum variance portfolio optimization suffer from…
Continue readingStock returns are notoriously noisy and as a result, little can be learned from historical data. One of the major buidling blocks of academic finance, the Markowitz portfolio optimization with its mean-variance framework is rarely…
Continue readingIn this post, I want to introduce local effects in the cross-section of stock returns. Different from risk factors/ market anomalies, calculated using raw (global) measures, local measures that relate single stocks to their peers…
Continue readingWe overcome the low performance of standard portfolio optimization by modeling portfolio weights as functions of stock characteristics. Instead of predicting asset returns in a first step and subsequently modeling portfolio weights in a second step, we…
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