My Current View on Practical Asset Allocation

Recently, I read "A Fundamental Approach to Personal Investment" by David Swensen. Swensen strongly recommends that investors focus on asset allocation, rather than market timing and security selection, to generate returns. He introduces concepts from Modern Portfolio Theory (MPT) to support this approach. Modern Portfolio Theory: A Brief

Books

[Book Summary] Core Asset Classes: A Fundamental Approach to Personal Investment by David Swensen

Core Asset Classes Defining asset classes combines art and science in an attempt to group like with like, seeking as an end result a relatively homogeneous collection of investment opportunities. The author discusses the characteristics of core asset classes: * Contribute basic, valuable, and differentiable characteristics to a portfolio * Rely on

Books

[Book Summary] A Fundamental Approach to Personal Investment by David Swensen

Overview: Sources of Return * Capital markets provide three tools for investors to generate returns: asset allocation, market timing, and security selection. * Asset Allocation: long-term decision regarding the proportion of assets that an investor chooses to place in particular asset classes. * Market Timing: deviations from the long-term asset-allocation targets. It represents

The Art and Science of Decision Making (Credit Risk)

Originally post in: https://kychanbp-credit-risk-mgmt-fintech.readthedocs.io/en/latest/fundamentals/decision_making.html TL;DR Credit risk management involves complex decision-making, often driven by experience rather than innate ability. This article explores how reinforcement learning (RL) can provide a scientific framework for these decisions, focusing on trial-and-error search and delayed

Mexico's Economic Landscape: Size, Sectors, Income Distribution, Industries and Economic Base

The Size of the Economy Mexico is the 12th largest economy in the world by GDP (PPP). Table: GPD (PPP) (Millions of current international dollars) by Country Rank Country (or territory) IMF Forecast (2024) World Bank Estimate (2023) CIA Estimate (2020) 1 China 35,291,015 34,643,706 23,

Exploring Complexity and Intelligence: A Curated Reading List

Lately, I've been delving into the concept of Complexity and its connection to learning and intelligence. I came across a website called LessWrong, and I've been engrossed in its dense and informative content. I want to take notes on some of the interesting articles I'

[Write to Learn] Minimal Description Length and Kolmogorov Complexity

Recently, the concept of compression and learning has piqued my interest, as discussed in a previous blog post. To explore this further, I've chosen to delve into Peter Grünwald's tutorial note, "A Tutorial Introduction to the Minimal Description Length Principle," with the intention of

Learning <=> Compression <=> Prediction

Introduction Occasionally, I will contemplate the meaning of learning. I learned very early that learning is not memorisation. One of the reasons is that I hate memorising facts without understanding them. Also, thanks to the Hong Kong education system, there is no need to memorise many facts as equations and

Books

[Book Summary] Guns, Germs, and Steel--From Food to Guns, Germs, and Steel

The Core Arguments * When the human population became sufficiently large and dense, and the rise of livestock and agriculture led to the development of infectious diseases, the spread of these diseases became a significant factor in human history. * Early writing served the needs of political institutions. It was never developed

Books

[Book Summary] Guns, Germs, and Steel--The Rise and Spread of Food Production

The Core Arguments * Domestication as a Driver of Development: Jared Diamond posits that the availability of domesticable plants and animals is the key factor explaining disparities in human development. * Global Patterns of Food Production: Food production emerged independently in several regions, including the Fertile Crescent, China, Mesoamerica, the Andes, and

Credit Risk Modeling with Transformers: A Literature Review and My Experimentation

1. Babaei and Giudici (2024) - "GPT Classifications, with Application to Credit Lending" Technique: Prompt-engineering Focus: * Application of GPT models in binary classification for credit scoring. * Comparison with traditional machine learning models like logistic regression. Key Points: a. Data Preparation and Input for Transformer Models: * The prompt sent

Using Large Language Models in Classification Tasks: A Case Study in Credit Risk Modeling-- My Failed Attempt #1

With the advancement of large language models, I am curious about their implications for the industry practice of classification tasks, where traditional models like logistic regression and tree-based models currently dominate. The data I used comes from Kaggle, specifically from a competition organised by Home Credit, a prominent player in