The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.
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 ...
7
votes
4answers
781 views
Library to solve optimization problems
I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms.
In particular I'm cutrently working with Semidefit ...
2
votes
1answer
192 views
What is the difference between these two optimization procedures?
In this portfolio optimization utility (and others), mean return, standard deviation and correlation among assets are required inputs.
http://finance.wharton.upenn.edu/~stambaugh/portopt.html
At ...
15
votes
6answers
5k views
What are some useful approximations to the Black-Scholes formula?
Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$.
I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate ...
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 ...
13
votes
5answers
3k views
Python library for Portfolio Optimization
Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...
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 ...
5
votes
2answers
371 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 ...
5
votes
1answer
683 views
Optimizing a portfolio of ETFs
I am aware of how to do mean-variance or minimum-variance portfolio optimization with constraints like
weights must add to 1.0
no short sells
max weight in any ticker
using basic quadratic ...
0
votes
0answers
133 views
Option vs Equity market-making strategies? [closed]
I need to implement a few "strategies" for a university project I am doing. The emphasis of the project is not on the strategies, but the technical (programming) means by which they are implemented.
...
