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  • Joined Jul 17, 2026

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  1. portfolio-optimization-collapse portfolio-optimization-collapse Public

    Forensic rebuild of a 3-asset portfolio optimization: published weights collapse to minimum variance; bootstrap shows the optimizer amplifies estimation noise

    Python

  2. us-factor-research us-factor-research Public

    US equity multi-factor research on a point-in-time CRSP/Compustat panel (2007-2024): multiple-testing corrections, FF5+MOM alphas, size-based robustness

    Python