The mean-variance tag has no wiki summary.
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Robust-Bayesian optimization in Markowitz framework
Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$.
In a robust setting, the returns are assumed to lie in some ...
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Analyzing the angle between vector of weights and vector of returns in mean-variance optimization
I am using the paper "A Sharper Angle on Optimization" by Golts and Jones (2009) as a basis for my (minor) masters thesis in mathematical finance. The paper focuses on the mean-variance analysis of ...
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Fastest solver possible for portfolio optimization
I am using quadprog in MATLAB for very simple mean-variance optimization, with less than 100 assets.
It is quite fast but if I run a strategy with daily ...
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Markowitz mean-variance optimization as “error maximization”
I hear it said a lot that standard MV optimization "maximizes errors". But I can't find a good explanation for what exactly they mean by this "maximization" of estimation error.
I understand that if ...
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1answer
380 views
Michaud's Resampled Efficient Frontier - Out of Sample Simulation Testing
I will be putting ALL my account points on bounty to whoever answers this question [if your answer is crap but it's the only answer, you're getting the 165 points]. You will have to wait 2 days or so ...
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Comparing MVO with Resampled Efficient Frontier
My question: How can I compare the Resampled Frontier (REF) to the standard MVO frontier when I have been provided with $\mu$, $\Omega$, and don't have access to true future data to test real out of ...
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1answer
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Unsystematic and systematic risk of a portfolio
I have 8 country stock indexes and 1 world stock index. I do not actually have time series data but I'm given the following data:
$\mu$, the vector of expected future returns for all 8 country ...
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3answers
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How to calculate expected return based on historical data for Mean Variance Analysis
I've recently started reading some books on asset allocation and portfolio theory but I don't work in the field and don't have much knowledge yet.
So I've been reading up on mean-variance analysis ...
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Does mean-variance portfolio optimization provide a real edge to those who use it?
Mean-variance optimization (MVO) is a 50+ year concept, and perhaps the first seminal idea of quantitative finance. Still, as far as I know, less than 25% of AUM in the US is quantitatively managed. ...
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What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
One of the main problems when trying to apply mean-variance portfolio optimization in practice is its high input sensitivity. As can be seen in (Chopra, 1993) using historical values to estimate ...
