The Sharpe Ratio Ratio

1 July 2019Research & presentationsinvesting, quantitative analysisNick Dunbar

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplified formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly. Download the paper here About…

An Introduction to Quantitative Finance

27 June 2014Book Reviewsderivatives, quantitative analysis, Stephen Blyth, textbookNick Dunbar

Stephen Blyth Oxford University Press, 175pp If one were to write a creation myth for modern finance, the wave of mathematicians and physicists who left academia for Wall Street from the mid-1980s onwards would be at the heart of it. As Stephen Blyth recounts in the preface to his book, these quant pioneers knew virtually…

Models. Behaving. Badly.

28 November 2011Book ReviewsEmanuel Derman, models, Models Behaving Badly, quantitative analysis, SpinozaNick Dunbar

Emanuel Derman John Wiley & Sons Ltd, 2011 I first met Emanuel Derman in the late 1990s, when I was starting out as a financial journalist. I felt an immediate affinity. I respected him as a refugee from physics who had progressed much further in the field than I ever had. In person and in…

A quant parable

12 February 2009Articlescredit derivatives, derivatives, quantitative analysisNick Dunbar

Risky Finance 27 November 2007 In the 12 months to July, Gordon Gekko was alive and well - running a fixed income business at a major bank. He was so busy scanning the CDO league tables and picking up awards at industry functions that he could no longer remember which of his many sports cars…