Tagged Questions
1
vote
2answers
105 views
What do the terms in-sample and out-of-sample estimates mean in MVO?
How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ?
5
votes
2answers
369 views
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 ...
21
votes
9answers
5k views
Why does the minimum variance portfolio provide good returns?
I've been a researching minimum variance portfolios (from this link) and find that by building MVPs adding constraints on portfolio weights and a few other tweaks to the methods outlined I get ...
10
votes
5answers
488 views
How can higher co-moments be applied to portfolio optimization in an asset allocation context?
Traditional portfolio optimization involves mean variance optimization, where only the mean and covariance matrix of returns are estimated. What asset allocation and portfolio optimization techniques ...
14
votes
1answer
671 views
Portfolio optimization with monte carlo sampling from predictive distribution
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or ...
11
votes
3answers
766 views
