Elegant Mathematics, Poor Economics
Here, we set the stage for introducing the portfolio management problem. It is gentle introduction to some useful proofs, results and problem settings of modern portfolio theory.
Some of the proofs reference other chapters of the original lecture notes (now 340+ pages). The full set of notes will be made available to paid readers in the next post.
We will then take a step further into developing factor models. We look at different kinds of factor models, namely statistical factor models, Fama factor models and Barra type factor models. Once we start building models, naturally, we will present the code relevant.
Preview:
The boy is on fire 🔥