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The calculation of rebalanced portfolio returns using PerformanceAnalytics functions makes use of what the package authors call "end-of-period" weights. As described in the documentation for Return.portfolio, the rebalancing uses the weights for the last trading day of the period to rebalance the portfolio after the markets close on that day. As an ...


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Why not just do: $$ max \,\, \mu ^T w - \lambda w^T \Sigma w $$ s.t.: $$ w \leq V $$ $$ -w \leq V $$ $$ A w = 0 $$ Google for LP absolute value constraint transformations. Here is a helpful online tutorial. And if these are portfolio weights, don't forget that they should add up to 1.


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Since you are comparing return, please don't forget to add dividends or interest paid out [if holding bonds or bondETFs]...most websites give price only returns and the differential can really be significant especially for high dividend stocks or sectors ... such as DVY, XLU , or for Bond ETFs... recently a few apps seem to do this Total Return comparison ...


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The Markowitz setup assumes agents have mean-variance preferences (CARA utility when returns are normally distributed yields the same). So the standard markowitz optimization maximizes risk-return tradeoff, where risk is measured by variance and return by mean. It penalizes risk depending on the degree of risk aversion. If instead you use linear ...


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Sharpe Ratio is defined as the slope of the line that is the return in function of the variance of a portfolio composed by a risky and a risky-less asset. Hence, if you have a bunch of risky assets (A,B) and a risky-less (C) you simply calculate the efficient portfolio for your risky asset (A,B), and then calculate the Sharpe ratio for the tangential ...



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