A theoretical framework for analyzing investment portfolios based on their expected return and risk.

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How do I determine what is a separate objective in a multi-objective portfolio optimization?

Is there a general rule to determining when to separate objectives when developing a multi-objective portfolio optimization? For example, one might start with a standard portfolio optimization of ...
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148 views

Resampled efficient frontier length of simulation

I was provided with a VBA program from my lecturer that applies the resampled efficient frontier. We have an investment horizon $T$ (6 years) and he uses a multivariate normal distribution with ...
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129 views

How do I do a mean variance optimization with constraints?

I am using python and the cvxopt library to calculate an efficient frontier, per the docs: http://cvxopt.org/examples/book/portfolio.html However, I cannot figure out how to add a constraint so that ...
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33 views

Compute the average efficient frontiers with estimated parameters from generated time series

My overall objective is to analyse the impact of error in mean-variance analysis from historical data. I am given the returns and standard deviation for the five assets under consideration, as well as ...
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164 views

Step-by-Step PCA algorithm (checking correctness without math packages)

I would appreciate if someone could correct me if i am wrong in my suggestion. I am using PCA to : find measure of cointegration between selected assets find the eigenvector and its portfolio with ...
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159 views

Easier references to understand “The Asset Pricing and Portfolio Choice Theory” of Back Kerry

I'm trying to read the excellent book "The Asset Pricing and Portfolio Choice Theory" of Back Kerry, but find it too much difficult. I really need to read it but before I assume that I may need to ...