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| bio | website | |
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| visits | member for | 2 years |
| seen | Mar 27 at 20:03 | |
| stats | profile views | 37 |
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Jan 22 |
comment |
Typical coefficients uses in square-root model for market impact The short answer for models like BECS (formerly StockFacts Pro) is: it depends. They fit separate models for each exchange, and even within the US they fit NYSE vs. NASDAQ and S&P 500 vs. non-S&P 500 separately. They also use a model that contains both temporary (as above) and permanent impact terms, which would affect the regression coefficients, but in my experience the temporary coefficient ranged between ~1-1.5 for North America. Asia xJP was slightly higher (~2-3) and Japan was north of 4. I no longer use this model at my current firm, so I'm not sure how much this may have changed. |
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May 29 |
awarded | Critic |
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May 4 |
comment |
MPT: Adding constraint on minimum asset weight Quite right, I completely mis-read that first part. I'll re-formulate the answer using Rglpk and post an edit shortly... |
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May 4 |
comment |
MPT: Adding constraint on minimum asset weight I see you edited the original problem specification, but the second bullet (which is analogous to a group definition) can be formulated as a linear constraint as well (for an example, see: quant.stackexchange.com/questions/3089/…). For true mixed-integer problems, Rglpk also offers a fair amount of functionality (and is free, unlike CPLEX). |
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May 4 |
answered | MPT: Adding constraint on minimum asset weight |
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May 4 |
comment |
MPT: Adding constraint on minimum asset weight This is actually a standard linear constraint that just about any basic portfolio optimizer can handle (assuming you don't have any integer constraints, like maximum number of names). Is there a particular software package that you're using? |
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Apr 21 |
awarded | Student |
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Apr 21 |
revised |
Is there a standard method of scaling alpha forecasts to t-cost estimates? added 23 characters in body |
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Apr 21 |
asked | Is there a standard method of scaling alpha forecasts to t-cost estimates? |
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Mar 21 |
comment |
How do I find the most diversified portfolio, or least correlated subset, of stocks? @TalFishman I've looked at replicating TOBAM's results in the past, and you're absolutely correct: an unconstrained MDP portfolio on the R1K universe typically holds 50-200 names. |
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Mar 20 |
awarded | Commentator |
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Mar 20 |
comment |
Time series of PCA - Sign change in factor loadings My intent was to link to the original question, where some comments address the fact that spectral decompositions can produce eigenvectors with arbitrary signs (and some of the ways of dealing with that). |
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Mar 20 |
revised |
Optimizing a portfolio of ETFs deleted 7 characters in body |
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Mar 19 |
comment |
Time series of PCA - Sign change in factor loadings There's a related question that might help: link |
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Mar 19 |
comment |
Optimizing a portfolio of ETFs Although you're not using Matlab, the Mathworks website has a multitude of examples that cover portfolio optimization and constraint specification using the financial toolbox that you might find useful. Function parameters for quadprog differ slightly between the two platforms, but the concepts are essentially the same. |
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Mar 18 |
revised |
Optimizing a portfolio of ETFs deleted 18 characters in body |
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Mar 18 |
awarded | Editor |
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Mar 18 |
revised |
Optimizing a portfolio of ETFs added 158 characters in body |
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Mar 18 |
answered | Optimizing a portfolio of ETFs |
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Mar 18 |
comment |
Optimizing a portfolio of ETFs What software are you using for optimization? |
