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11. Time- and State-Dependent Resampling

A video walkthrough of the Time- and State-Dependent Resampling SSRN article and Python code.
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This video goes through the Time- and State-Dependent Resampling SSRN article1 and its accompanying Python code2.

Time- and State-Dependent Resampling is a new general class of time series resampling methods for high-dimensional investment market simulation.

The Fully Flexible Resampling method, first introduced in Chapter 3 of the Portfolio Construction and Risk Management book3, is an instance of the Time- and State-Dependent Resampling class. You can read more about this relation in this post4.

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12. The Normal Distribution Myth

12. The Normal Distribution Myth

The normal return distribution assumption has been made on many occasions in academic finance theories such as CAPM, Black-Litterman, and mean-variance.

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Time- and State-Dependent Resampling SSRN article: https://ssrn.com/abstract=5117589

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Portfolio Construction and Risk Management Book: https://antonvorobets.substack.com/p/pcrm-book

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