The portfolio-selection tag has no wiki summary.
14
votes
1answer
670 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 ...
5
votes
1answer
678 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 ...
5
votes
2answers
218 views
Which ETFs should I use to test my portfolio selection algorithm?
I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it ...
2
votes
1answer
410 views
Reduce correlation in output of Minimum Variance Portfolio Optimization
After running a minimum variance portfolio optimization on a universe of ETF's I see the resulting portfolios tend to be composed of bond ETF or related treasuries/government ETFs.
I suppose that ...
