The portfolio-selection tag has no wiki summary.
14
votes
1answer
673 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 ...
9
votes
1answer
714 views
What are the advantages / disadvantages of the ANTICOR algorithm?
The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock.
The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and ...
8
votes
2answers
478 views
Where can I find a database of ALL ETFs, sorted by age?
I have a portfolio allocation strategy I want to backtest, but I need a large "universe" of ETFs for it to choose from at each time period. I was thinking of starting with a criteria such as "all ...
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 ...
5
votes
1answer
684 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
220 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 ...
5
votes
3answers
356 views
Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
Here is a very interesting question that I found at Nuclear Phynance (original author: Strange); I though it is so interesting that it is worthwhile to ask it here:
I have $N$ strategies, across a ...
5
votes
4answers
412 views
How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
I have a follow-on question to questions that appeared here and was not sure if the right way was to ask in the comments or post a new question.
My question is: how can I optimize a portfolio to suit ...
4
votes
4answers
785 views
How can I select the least correlated portfolio of assets?
Can anyone explain the process and the calculations needed to select a portfolio of liquid futures assets with the least correlation? Given a set of returns for a series of assets, how do I select the ...
4
votes
3answers
342 views
How to cluster ETFs to reduce cardinality for portfolio selection
I'm looking to run portfolio optimizations using various optimization goals - e.g. minimum variance, max diversification etc. My challenge is if I want to do this on ETF's which ones do I pick to run ...
3
votes
2answers
641 views
How to define the objective function for a custom optimization problem?
I would like to find the allocations that would minimize some user-defined metric (Sortino, minimum drawdown, etc) for a portfolio of assets.
How would one go about formulating the objective ...
3
votes
1answer
462 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 ...
2
votes
2answers
134 views
Comparing Cash Equivalent of risky portfolios
To compare two risky portfolios, Mean-Variance (M-V) portfolios for example, many compare their Cash Equivalent ($CE$). $CE$ is defined as the amount of cash that provides the same utility as the ...
2
votes
1answer
419 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 ...
2
votes
2answers
108 views
Proxy for risk in portfolio theory when return can take only two values
I'm trying to adapt tools from portfolio theory for another use, and I have a question about how I might do so.
Suppose that instead of having normally distributed returns, the return $R_i$ is ...
-3
votes
1answer
125 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 ...
