Timeline for How to apply risk-parity portfolio construction to a dollar-neutral portfolio?
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Jan 2, 2012 at 15:46 | comment | added | Ram Ahluwalia | Just a heads up that there are multiple optimal solutions when weights are allowed to go negative. In particular, the -1*weights is also a valid solution with equal utility. I have added a minimize transaction cost objective into my utility function to minimize the churn that might result. | |
| Dec 29, 2011 at 23:19 | vote | accept | Ram Ahluwalia | ||
| Dec 29, 2011 at 22:43 | comment | added | SRKX |
@QuantGuy: Actually I did not get the goal from the paper, I "did it myself" when I tried out ERC. I implemented it in Matlab and the problem is indeed found using fmincon (I checked the risk contributions and the constraints)
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| Dec 29, 2011 at 19:51 | comment | added | Ram Ahluwalia | Where is your formula in the paper? Formula 6 and 7 in the paper (see page 7 of the pdf) do not match the goal function described above. | |
| Dec 29, 2011 at 17:40 | comment | added | Ram Ahluwalia | +1. I'll try this formulation of the objective and let you know how it goes. I think this should work... Thanks for the link to the paper | |
| Dec 29, 2011 at 15:33 | history | answered | SRKX | CC BY-SA 3.0 |