z-scores of turbulence and absorption ratio from equity etfs for paperback investing post

Risk report proto-type. Currently measures fragility based on Kritzman et al 2010 with US equity sectors and global assets Plan to add more on option skewness and implicit jump parameters (from Bates 1991), also implied vol surface of S&P 500

Multi-factor regression that uses the market plus size, style, and momentum factors to explain an equity security's systematic risk. Publication shows how to: 1) parse factors from French's online research library, 2) clean the data, and 3) run a multi-factor regression and analyze the results

code to parse option chain data from google finance and calculate an implied volatility smile from the option prices and strikes

Application of Newton's method in linear algebra form to solve for portfolio weights that force each security to contribute an equal amount of component portfolio risk (i.e., risk parity). Algorithm is presented as two functions and a for loop and then tested with a hypothetical portfolio of sector ETFs.

Example of how to conduct a risk budget analysis on a portfolio. Risk in this example is standard deviation or volatility, and a hypothetical portfolio of tech stocks are used for the analysis.