News: Variance matrix differences

4 days ago - Portfolio Probe

Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage. Previously There have been posts on: “What the hell is a variance ...

Blog: Variance matrix differences

Patrick Burns 4 days ago

Blog: On Insurance Investing, Part 6

The Aleph Blog 8 days ago

News: On Insurance Investing, Part 6

8 days ago - The Aleph Blog

This piece is the sixth out of seven in a series that I have been writing at Aleph Blog.  Here are links to the first five pieces:On Insurance Investing, Part 1 (reducing sha...

Blog: On Insurance Investing, Part 3

The Aleph Blog 110 days ago

News: On Insurance Investing, Part 3

110 days ago - The Aleph Blog

Subtitle: The Value of Momentum and Mean-ReversionIn the extreme short-run, mean-reversion dominates.  Over a year, momentum dominates.  Over a four year period mean-reversi...

Blog: On Insurance Investing, Part 2

The Aleph Blog 114 days ago

News: On Insurance Investing, Part 2

114 days ago - The Aleph Blog

If you grow book value, particularly if your liabilities are short, you will grow market value.  Many reinsurance and insurance companies aim at growing fully convertible boo...

Blog: On Insurance Investing, Part 1

The Aleph Blog 116 days ago

News: On Insurance Investing, Part 1

116 days ago - The Aleph Blog

Shrinking the Share CountThis post was prompted by this post from Avondale Asset Management on how the share count from The Travelers has shrunk since 2005 (two years after th...