Tag Info

New answers tagged

3

Both free and paid access to data sets conatianing company financial statement items is available from Quandl. The free data sets are sourced from the SEC based on compnay electronic filings and go back about five years. For example, you could obtain five years of MSFT's quarterly net income using the R call Quandl("RAYMOND/MSFT_NET_INCOME_Q") Lists of ...


0

Question 1 (how to set asset level risk budgets as well as portfolio level target volatility) is discussed in Modern Portfolio Optimization by Bernd Scherer and Douglas Martin in section 3.1.1 on risk budgeting constraints. They set upper and lower bounds for their risk budget constraints in a mean variance optimization. The recent work by James Sefton, ...


3

Black Litterman might be a good solution to your problem, since it suffers less from corner solutions (concentrated portfolios). You already have active views in the form of return expectations, and you can control the confidence in your views explicitly; see for example Meucci's Risk and Asset Allocation chapter 9.2 for a description. Since you have a ...


3

First the easy solution: Define the continuous weights of each asset: $w_i \in [0,1],i=1,\ldots,N$ and choose some meaningful lower bound for each weight. Then you have the objective $$ w\mu - \lambda w^T \Sigma w \rightarrow Max, $$ all your constraints that you already apply and the additional (linear/box) constraint $$ w_i \ge l, i=1,\ldots,N. $$ ...


3

Of course you can choose the prior. As far as I understand the literature, the BL-model is characterized by using the equilibrium implied returns. Otherwise it would just be a Bayesian model. If you estimate the returns in a different way (not taking implied returns from the market portfolio), you could lose the stabilizing inverse optimization step ...


0

I think the model you are presenting is trying to capture the pro-forma performance of a collection of stocks. However, it is not that 'flexible' and is accurate if: You are fully invested throughout the time window you are considering You do not place new trades during this time window A portfolio value is simply the sum of your assets, so at time $t$ ...



Top 50 recent answers are included