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| bio | website | bit.ly/GFscreener11 |
|---|---|---|
| location | stackoverflow.com@askmarcos.com | |
| age | ||
| visits | member for | 1 year, 5 months |
| seen | Apr 23 at 14:30 | |
| stats | profile views | 16 |
Pioneers are the ones with arrows in their backs.
Investment Portfolio Software, Trade Automation
Designer of infinite compression algorithms, and other research projects
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Mar 10 |
asked | age-sensitive correlation measurements in finances |
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Mar 9 |
comment |
portfolio diversification tester somewhat duplicate of: quant.stackexchange.com/questions/1143/minimizing-correlation |
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Mar 9 |
comment |
portfolio diversification tester So to incorporate this into my process, basically I need to 1. Gauge the correlations between each pair of existing positions once at the beginning and remember the initial WAC, next 2. For each new candidate, learn from somewhere its correlations with each of the positions in the portfolio, and finally 3. Run the correlation matrix sum again as if the candidate already belonged to the portfolio, and see how it changed the WAC up or down from the original--down meaning less aggregate correlation(less risk). |
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Mar 9 |
comment |
portfolio diversification tester I think I see. So for the 16 positions in that example, the final WAC would be the sum of the 15 + 14 + 13 + ... 2 + 1 = 16^2 /2 or 128 possible pairs applied into that formula. |
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Mar 8 |
comment |
portfolio diversification tester Yeah something like that. You mean a matrix like ones at assetcorrelation.com/custom?period=91&portfolio=1648 ? Only I don't get your formula yet for the case of N existing positions. I do want the WAC to factor in the sizes(each position different) so that seems like the right track. |
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Mar 8 |
awarded | Supporter |
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Mar 8 |
comment |
portfolio diversification tester assetcorrelation.com gives you an "Intra-portfolio diversification" but it's a lot of work to see how it changes from one addition to your basket (and my algorithms need to evaluate thousands quickly) |
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Mar 8 |
revised |
portfolio diversification tester clarified, added research |
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Mar 8 |
awarded | Student |
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Mar 8 |
awarded | Editor |
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Mar 8 |
revised |
portfolio diversification tester added example |
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Mar 8 |
asked | portfolio diversification tester |
