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3
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55 views

Finding mean vector and covariance matrix for annual returns given quarterly returns

I am currently trying to calculate a vector for the mean annual returns of 4 different asset classes along with their 4x4 covariance matrix in excel. However, I am having problems since the data I ...
3
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0answers
70 views

Residual Covariance Matrix, and MVO for Residual Variance and Alpha

My overall goal is to find an efficient frontier using QP in terms of $\alpha$ and residual variance ($\omega^2$) for a portfolio $P$ given a benchmark $B$. We know the equation for residual variance ...
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115 views

Behaviour of out of sample efficient frontier

I am comparing the efficient frontier of a set of portfolios that are in and out of sample. The first period is from 1991-01-03 until 1992-10-03 and the second one from 1992-10-03 until 1994-03-03. I ...
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19 views

Should the number of Markowitz Optimization steps be counted as backtest trials?

I'm backtesting a strategy that involves monthly investments in a few stocks out of a given set, that is, each month some of the stocks are shortlisted from an index and a long position is taken in ...
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0answers
73 views

Definition of sharpe ratio maximising and variance minimising portfolios

In this paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226985, in the derivation of the mean variance efficient portfolio using lagrangians in the appendix, on page 29, the two portfolios ...
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183 views

Tangent portfolio weights without short sales?

Consider a mean-variance investor in a world with a risk-free asset. Let $R_f>0$ be the return of the risk-free asset, $\mathbb{E}(R_i)>R_f$ the expected return of the risky asset $i$ and $SD(...
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55 views

Mean- variance portfolio problem

So the question asks: Consider three uncorrelated stocks in the market. Each stock has variance 1. The expected returns are given by $2, 3 $ and $ 5$ respectively. Find the optimal mean-variance ...
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18 views

Reference Request: Portfolio Optimization Conditional on downside threshold

Under a standard portfolio optimization framework we have some idea of a predictive return distribution $r_{t+1}$ and a Utility function $U(r)$, in the best case in a 'nice' form (differentiable etc.)....