Tagged Questions
6
votes
3answers
693 views
Why is the Drawdown measure not used for portfolio optimization?
I was asked yesterday by a colleague why we are doing asset allocation using optimizers which target, for a minimum expected return:
the portfolio with the minimum variance
or
the portfolio with ...
6
votes
1answer
562 views
How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio?
I am trying to get my hands on Entropy Pooling which was introduced by Meucci in this paper.
As an example, assume I want to construct a portfolio with five stocks and I have my view on CVaR.
How ...
7
votes
2answers
849 views
How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
Long-only risk-parity portfolios have proliferated in recent years. An optimized long-only risk-parity portfolio requires that the asset weight * marginal contribution to risk of the asset is ...
4
votes
2answers
325 views
Choice of prior as a shrinkage target in portfolio construction?
There's various research showing how priors such as the minimum variance portfolio turn out to be a surprisingly effective shrinkage target in portfolio construction.
The sell point of these priors ...
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 ...
