Tagged Questions
-4
votes
2answers
124 views
How to use mean-variance weights in practice (when going short is allowed)? [closed]
I have calculated my optimal portfolio weights following the mean-variance framework where I go $w_1$ in the risky asset and $1-w_1$ in the risk free rate.
I get the following result: $w_1$ = 1.5, ...
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 ...
2
votes
3answers
447 views
Can I perform an asset allocation optimization if assets are perfectly uncorrelated?
(Here is a link to the original post)
I received this interesting problem from a friend today:
Assume that you are a portfolio manager with $10 million to allocate to hedge funds. The due diligence ...
9
votes
3answers
902 views
Why do expected return models and risk models use different factors?
This is a question responding to weekly topic challenge. I happen to see an interesting question from SYMMYS by Michael Kapler.
I always approached expected return and risk modeling as separate
...
7
votes
2answers
338 views
How to shift amongst asset classes in response to relative value views?
I am designing an asset allocation strategy/fund which invests in four asset classes (via four independent sub-funds):
Domestic equity
International equity
Domestic fixed income
Foreign currencies
...
6
votes
3answers
337 views
Should the average investor hold commodities as part of a broadly diversified portfolio?
Many mutual funds sell "asset allocation" products which include appropriately sized investments in a variety of asset classes meant for a prototypical investor. Some of these, such as PIMCO, even ...
