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| visits | member for | 5 months |
| seen | Dec 31 '12 at 13:28 | |
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Dec 31 |
comment |
Optimizing a currency only portfolio with negative weights folks, incredibly helpful and thughtful answers..much appreciated. the scales have come off my eyes... - i think i remove the USD from the optimsation process and remove the constraint that the weights must sum fo flat...the inverse of the net sum of the weights then effectively becomes the USD position. also, both a question and a statement for Freddy - i am optimizing FX pairs, all vs the USD....i am often generating weights that are the opposite sign to the expected return - if say EUR and CHF are very highly correlated (ie >80%) and i have a positive expected return for both, the optimizer |
