A few new papers
I've not been too busy with this project lately, but I'm back.
I read an interesting paper recently, A Sharper Angle on Optimization, by Max Golts and Gregory Jones. I'm always looking out for new takes on improving correlation matrices, and ones which have a geometric point of view seem like they should have some intuitive feel. I've only read through this once, and not yet tried to implement it, but I like there ideas. I'm sure I'll be blogging a bit more on this after I've had time to read and digest the paper.
On the Black-Litterman front, I've had several folks send me helpful information, the most recent is Allaj Erwindi giving me the pointer that I could save some trees in my paper by referring to the Sherman-Morrison formula (which I work through in an appendix of the paper without knowing the name). Thanks, the next version of the paper will be shorter and will include references to this formula.