Timeline for Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 15, 2022 at 18:29 | vote | accept | lara_toff | ||
| Aug 4, 2022 at 5:36 | answer | added | Michael Hodel | timeline score: 4 | |
| Aug 2, 2022 at 2:20 | vote | accept | lara_toff | ||
| Aug 2, 2022 at 2:20 | |||||
| Aug 2, 2022 at 1:11 | comment | added | lara_toff | I don't believe so, I am trying to maximize expected return not expected sharpe. Also plain vanilla markowitz doesn't deal with expected return changing as you add/subtract weight to the stock. | |
| Aug 2, 2022 at 1:09 | comment | added | xxanissrxx | Is this just mean-variance optimization? | |
| Aug 2, 2022 at 1:00 | history | edited | lara_toff | CC BY-SA 4.0 |
deleted 5 characters in body
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| Aug 2, 2022 at 0:55 | history | asked | lara_toff | CC BY-SA 4.0 |