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Jan
29
comment Robust Bayesian portfolio optimization in matlab?
Thanks for your response!
Jan
28
comment Analyzing the angle between vector of weights and vector of returns in mean-variance optimization
@Richard: Thank you! Will take a look at it.
Jan
25
comment Robust-Bayesian optimization in Markowitz framework
That cleared it up for me. Thanks again, Philippe!
Jan
24
comment Robust-Bayesian optimization in Markowitz framework
Can you please explain, a little more clearly, how you get to the final equation from the second one?
Jan
24
comment Robust-Bayesian optimization in Markowitz framework
@Phillipe: Can you recommend a good source or reference that will help or that you have used???
Jan
23
comment Robust-Bayesian optimization in Markowitz framework
Hi! It is not a Meucci paper but instead a Golts and Jones (2009) working paper. It can be accessed on this link: ssrn.com/abstract=1483412. I have looked at the Meucci papers and books but they do not really help. Perhaps I missed something???
Jan
19
comment Analyzing the angle between vector of weights and vector of returns in mean-variance optimization
@Freddy: We are dealing with the Markowitz mean-variance optimization setup. Sorry if that was not clear.