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visits member for 2 years, 9 months
seen Oct 21 at 3:37

Interested in - R, F#, Home/Retail Quant/Algorithmic trading.


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comment How to cluster ETFs to reduce cardinality for portfolio selection
I read the attached doc and it's very unclear how your procedure works from that document. Can you please elaborate?
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comment How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Can you explain more clearly how you would solve for all these constraints together. E.g. would you formulate a quadratic program, do somethe monte-carlo optimization, something else?