Can I read Northfield on EtoBox?
Northfield by Klaus Ørtoft Madsen is a document available to read on EtoBox.
What is Northfield about?
The document discusses four main approaches to addressing estimation error in portfolio construction: augmented objective functions, resampling, constraints, and Bayesian methods. It provides examples of each approach and notes techniques used by Northfield, including resampling, constraints, and four Bayesian adjustment methods. A simple example illustrates how a Bayesian approach blends the optimal Markowitz weights with equal weights to offset potential errors in estimated returns, risks, and correlation
- Author
- Klaus Ørtoft Madsen
- Language
- EN