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Apr
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asked what is the vol in the BS formula?
Feb
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May
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May
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Feb
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Sep
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Aug
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Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
Thank you very much, this is very insightful
Aug
14
accepted portfolio optimisation with VaR (or CVaR) constraints
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
it seems that even though CVXOPT is open source, it only contains interfaces to the solvers in MOSEK, which is not open source.
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
Thanks for your input, makes sense. What about $r_{ij}$ ? The return of asset $i$ in simulation $j$ ? Do you really have to simulate them or can you take simply the past ones? i would like to avoid modelling the returns, as it could create errors (bad tail correlation estimation etc.) Now if you need 10,000 of them I understand you have to simulate. But is it not dangerous?
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
If I am not wrong these $m$ are the Monte Carlo simulations that @David Nehme is mentioning in his answer. I guess $m$ has to be high enough. 1000? 2000? Do you have an idea?
Aug
13
comment portfolio optimisation with VaR (or CVaR) constraints
The second link seems very interesting, thanks. I have read carefully the paper. however, I truggle to understand how they replace the expectancy that is in formula (9) page 8, with a sum over $j$. What are these $r_{ij}$ and what is $m$? Apart from that, the solution is quite elegant... Can be solved with a very standard optimizer.
Aug
13
comment portfolio optimisation with VaR (or CVaR) constraints
+Alexey, do you have this ebook "Portfolio Optimization with R/Rmetrics"? On the google preview at page 333 it seems that I read that quadratic constraints are treated in the other ebook "Advanced Portfolio Optimization with R/Rmetrics" If you have the book, can you confirm if there are such examples? books.google.com.sg/…
Aug
13
comment How to normalize different instruments by volatility?
not sure what your discussion on quants really brings to Freewind's question. Sounds like a useless digression.
Aug
13
revised portfolio optimisation with VaR (or CVaR) constraints
edited title
Aug
12
awarded  Popular Question
Aug
10
comment portfolio optimisation with VaR (or CVaR) constraints
indeed. I need quadratic constraints. The objective function is linear but the VaR constraint is definitely quadratic. Will have a look at your link. Thanks
Aug
10
comment portfolio optimisation with VaR (or CVaR) constraints
@BobJansen I have several VaR constraints on several groups of assets in my portfolio. I cannot manually adjust every day the expected returns of all my assets to ensure the VaR constraints. Ideally I would have to model the constraint in the optimization problem.
Aug
10
asked portfolio optimisation with VaR (or CVaR) constraints