Path Space Lab

Time-Path Fragility

Research artifacts on how portfolio optimization changes when the same return history is resampled into plausible alternative paths.

Read Artifact 01 Spec Data Schema
Bootstrap rolling portfolio weight dispersion with realized path overlay
Bootstrap 10th-90th percentile rolling weights with the realized path shown as a dashed reference.

Current Artifact

Bootstrap Time Paths

Contiguous return blocks preserve short-horizon dependence while producing alternative histories for the same asset universe.

Rolling Optimization

Factor-model covariance estimates feed a constrained minimum-variance optimizer at monthly rebalance dates.

Realized Reference

The historical path is plotted against bootstrap distributions to show whether the realized outcome is typical or path-specific.

Figures

AAPL bootstrap cumulative return paths
Example bootstrap return paths.
Cross-path standard deviation of rolling portfolio weights
Cross-path rolling weight dispersion.
Portfolio cumulative return dispersion across bootstrap paths
Portfolio cumulative return dispersion.