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1

It means you should buy the 4 stocks. The model you are using seems to restrict short selling, i.e. by removing this restriction you could get negative weights on certain assets with all assets adding up to 100%. Re your question on limiting your asset selection to stocks that are expected to outperform the population: this has to do with your assumptions ...


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You can use =BHP(....,) to download the historical data from Bloomberg...to download the latest data you can use BDP instead of BHP.


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Firstly I'm only concentrating on Sharpe, this is the most robust of your metrics. Consider the difference between sharpe and drawdown, sharpe contains a contribution from every return in your result, drawdown is just one observation of whatever happens to be the longest run of negative returns. Of course it's your choice if you want to place more weight on ...



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