update

bibs/finance.txt

@@ -14,6 +14,7 @@ Fama, E.F. & French, K.R. (1992). The cross-section of expected stock returns. *
 Gibbons, M., Ross, S., & Shanken, J. (1989). A test of the efficiency of a given portfolio. *Econometrica*, 57, 1121--1152. https://www.jstor.org/stable/1913625
 Graham, B. (2003). *The Intellegent Investor, Revised ed.*. Harper. [(Originally published in 1949)]
 Hood, R.L. (2005). Determinants of portfolio performance: 20 years later. *Financial Analysts Journal*, 61(5), 6--8.
+Hudson & Thames. (2024). The Modern Guide to Portfolio Optimization. https://github.com/hudson-and-thames/guide_to_modern_portfolio_optimization
 Jagannathan, R. & Ma, T. (2003). Risk reduction in large portfolios: Why imposing the wrong constraints helps. *Journal of Finance*, 58(4), 1651--1683. https://www.jstor.org/stable/3648224
 Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. *Journal of Finance*, 23, 389--416. https://www.jstor.org/stable/2325404
 Karatzas, I., Lehoczky, J.P., Sethi, S.P., & Shreve, S.E (1986). Explicit solution of a general consumption/investment problem. *Mathematics of Operations Research*, 11, 261--294. https://www.jstor.org/stable/3689808

portfolio-theory.qmd

@@ -630,6 +630,7 @@ Hierarchical risk parity
 -   Raffinot, T. (2018). Hierarchical clustering-based asset allocation. (HCAA) [^Raffinot2018a]
 -   Raffinot, T. (2018). The hierarchical equal risk contribution portfolio. (HERC) [^Raffinot2018b]
 -   Lohre, H., Rother, C., & Schäfer, K.A. (2020). Hierarchical Risk Parity: Accounting for tail dependencies in multi-asset multi-factor allocations. [^Lohre2020]
+-   Hudson & Thames. (2024). The Modern Guide to Portfolio Optimization. [^Hudson2024]
 -   Blogs:
     -   [hudsonthames.org](https://hudsonthames.org/an-introduction-to-the-hierarchical-risk-parity-algorithm/)
     -   [quantpedia.com](https://quantpedia.com/hierarchical-risk-parity/)
@@ -646,6 +647,7 @@ $$ \tilde{d}_{ij} = \sqrt{ \sum_{n}^{n} \left( d_{ni} - d_{nj} \right)^{2} } \la
 Note that $\tilde{d}_{ij}$ a function of the entire correlation matrix over all assets,
 whereas $d_{ij}$ is defined for asset pairs.
 
+[^Hudson2024]: @Hudson_2024_The_Modern_Guide_to_Portfolio_Optimization\.
 [^Lohre2020]: @Lohre_2020_Hierarchical_Risk_Parity_Accounting_for_tail\.
 [^LopezDePrado2016]: @Lopez_2016_Building_diversified_portfolios_that_outperform\.
 [^LopezDePrado2018]: @Lopez_2018_Advances_in_Financial_Machine_Learning\.