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location New York, United States
age 43
visits member for 2 years, 9 months
seen Sep 13 at 18:05

Jun
28
awarded  Critic
Feb
9
awarded  Yearling
Apr
24
answered What is the difference between convertible bond and bond with warrant?
Feb
9
awarded  Yearling
Jan
15
awarded  Revival
Jan
15
revised What is the canonical reference for Minimum Variance Portfolio's uniqueness?
added 25 characters in body
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
The standard textbook reference is Convex Optimization by Boyd and Vandenberghe. See section 4.2.2 in particular. A free online copy is available at stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
If your covariance matrix is only positive semi-definite, that would mean there are non-zero portfolio weights so that the variance of that portfolio is zero. I don't know what kind of universe of securities you're considering, but in the equity space that doesn't usually happen.
Jan
13
comment What is the canonical reference for Minimum Variance Portfolio's uniqueness?
That's not correct; if the covariance matrix is strictly positive definite then the variance is a strictly convex function of the portfolio weights, so it can only have one minimum on the (convex) constraint set. If you had two distinct min-var portfolio weights, then all linear combinations of those two would also have the same minimum variance, contracting strict convexity.
Jan
13
awarded  Editor
Jan
13
revised portfolio optimisation with VaR (or CVaR) constraints
deleted 8 characters in body
Jan
13
answered What is the canonical reference for Minimum Variance Portfolio's uniqueness?
Oct
25
answered Choosing attributes for SVM classification?
Oct
24
comment Why is the Drawdown measure not used for portfolio optimization?
@pteetor: Agreed; I don't know anyone who uses simple MV optimization. Just about everyone I've worked with uses heavily modified MV optimization, typically with regularization terms are added, along with hard constraints on the weights.
Sep
28
comment Fastest solver possible for portfolio optimization
How long does a single mean-variance run take in Matlab on 100 assets?
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
No, that's not correct. It has it's own solvers, plus the option to use MOSEK if you have that installed. It's not a dependency.
Aug
10
awarded  Supporter
Aug
10
answered portfolio optimisation with VaR (or CVaR) constraints
Aug
9
answered How to simulate cointegrated prices
Jul
9
answered Why is the Drawdown measure not used for portfolio optimization?