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4
votes
2answers
69 views

Realized “efficient” frontier. Is this reasonable?

I have performed some out-of-sample analysis of mean-variance optimization with monthly rebalancing. Studying the "realized efficient frontier", I am worried that something is wrong. Since the ...
6
votes
0answers
789 views

Formula for the efficient portfolios (mean-variance optimisation)?

Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$. For a certain fixed ...
5
votes
0answers
299 views

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 ...
3
votes
0answers
53 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 ...
1
vote
0answers
34 views

Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
1
vote
0answers
1k views

Calculating the efficient frontier from expected returns and SD

I'm trying to calculate the efficient frontier (and the optimal portfolio at the Sharpe ratio) given two vectors for a portfolio: (1) expected returns and (2) historical standard deviations. I would ...
1
vote
0answers
72 views

Transform MPT optimization problem

I am trying to teach myself about MPT and optimization. I understand that MPT solutions can be found using three equivalent optimization problems: Minimizing variance for given return limit ...
0
votes
0answers
20 views

What is the importance behind an efficient frontier to be a straight line in the standard deviation-mean plane for Mean-Variance Portfolio Selection?

I'm currently working on a research project regarding Continuous-Time Mean-Variance Portfolio Selection problem. I got curious on why is it important for the efficient frontier to be a straight line ...
0
votes
0answers
13 views

How to set the mean matrix in fPortfolio package in R

I'm doing a mean-variance analysis of 5 ETF's and insted of using the sample mean i used a time series model to forecast it. I want to do a backtest of a tangency portfolio getting the weights with ...
0
votes
0answers
52 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 ...
0
votes
0answers
55 views

Stats and Hedge Ratio calculation questions

I did self-study and learnt some concepts to build a multiple leg spread /portfolio for trading but still confuse in some basic concepts. I will be very thankful if you can answer my couple of ...