1
vote
3answers
174 views

Handling Missing values in stocks returns when estimating the co variance matrix

What is the best way to handle missing values when stocks did not exist for the entire historical period?.
3
votes
1answer
83 views

Create optimal portfolio by Treynor and Jensens Alpha

I would like to know which formula to use in order to optimize a portfolio based on highest Treynor and Jensens Alpha. I am aware that usually one optimize a portfolio by highest Sharpe ratio (the ...
0
votes
1answer
64 views

Making portfolios better than others for a 16 week portfolio game? [closed]

I'm going to participate in a game of making portfolios. The objective of the game is to make the portfolio with the bigger ROI over 16 weeks. Over each week every player can see the ROI of each ...
3
votes
3answers
114 views

Budget Constraint in Sharpe Ratio Optimization

I am a math student and I am trying to understand the budget constraint in Sharpe Ratio optimization for portfolio design. Recall the budget constraint requires that the sum of the portfolio weights ...
0
votes
0answers
51 views

I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation

Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the ...
2
votes
1answer
178 views

Determining the portfolio return distribution to calculate CVaR/ES

I'm trying to do a portfolio optimization with an expected shortfall constraint. For this, it is necessary to know the distribution of expected portfolio returns. When doing this empirically, my plan ...
4
votes
1answer
723 views

Risk-Parity Portfolio Optimization using Extreme Optimization in C#

I'm trying to create a risk-parity portfolio in C# using the Extreme Optimization routines. I'm mostly trying them out to see if I like them or not before I buy them (I'm a student so money is ...
-3
votes
1answer
141 views

Methods for distributing cash into allocation

Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price? As a simple example, a portfolio starts with ...