meta user
network profile
| bio | website | |
|---|---|---|
| location | Sydney, Australia | |
| age | ||
| visits | member for | 6 months |
| seen | May 22 at 5:27 | |
| stats | profile views | 1 |
|
Mar 18 |
comment |
Is Optimization ignoring correlation valid? Are your backtested performance results Sharpe ratios or returns? The tangency portfolio in a no-covariance scenario could have higher returns (but lower Sharpe) than where you have positive and possibly negative covariances. |
|
Jan 25 |
comment |
Why do low standard deviation stocks tend to have superior future returns? Do you mean risk-adjusted returns? |
