PORTFOLIO
Black-Litterman in Practice: From Theory to Production
How to calibrate investor views, set confidence levels, and integrate Black-Litterman into a live portfolio management system.
Essays on quantitative finance, capital allocation, and decision systems. Deep dives into the frameworks behind the book.
The five most common errors in discounted cash flow models, and a systematic framework for avoiding them. Based on Chapter 3 of From Equations to Capital.
How to calibrate investor views, set confidence levels, and integrate Black-Litterman into a live portfolio management system.
VaR is a necessary but insufficient risk metric. Understanding its blind spots is essential for robust risk governance.
A $1.5 billion loss from a "successful" hedge. The case study that every derivatives professional should know.
Terminal value often represents 70%+ of DCF output. A small change in assumptions dominates the entire analysis.
When the Swiss National Bank abandoned the EUR/CHF floor, stop-loss orders failed catastrophically. Put options didn't.
Market orders guarantee execution but not price. In volatile markets, the difference between limit and market can be substantial.
New essays on quantitative finance and capital allocation. No spam, no fluff. Just research.