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seen Apr 7 '12 at 17:07

Feb
13
comment Can I perform an asset allocation optimization if assets are perfectly uncorrelated?
David, you can simply scale your weights by volatility or even better, risk adjusted expected return within your utility function. Given your (simplistic) assumptions of zero correlations, I would suggest your utility function ONLY reflect weights of risk adjusted returns. You can scale the weights by your preference, thats what the definition of Utility is actually all about. However, you have not given any indications that may allow me determine what your utility should look like.
Feb
13
comment Can I perform an asset allocation optimization if assets are perfectly uncorrelated?
You are right, MV analysis makes no sense without utility function, otherwise what do you intend to optimize for? You need to specify a function that dictates the goal of your optimization. With independence assumption and no utility your allocation is gonna be 100% to the fund that maximizes E(r)/ E(sd), simple as that.