mixmu (mixmu)

mixmu

Data scientist / Economist / Statistician / Math do-er IRL. Will probably post some fun crypto pricing models?

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My intro post! I'm a late-thirties (ancient) economist/statistician/programmer in the tech industry by day, looking for a good outlet to post about my unhealthy crypto/web3 hobby! I like building little portfolios using my econ background, and I want to learn how to make some apps. Anyway, nice to meet y'all!

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Basic Markowitz portfolios work pretty well in crypto and are easy to code. If not familiar, they allocate by solving: allocation(r) = arg min w'Var(Returns)w st: w'1 = 1, w'E[Returns] >= r, for some estimate of expected returns/variance for a set of assets. Make the portfolio riskier by increasing the "r" parameter.

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