I have spent a lot of time finding some trading alphas. Now, I have about 10 alphas to trade Future, I also optimized the portfolio by using Markowitz's Modern Portfolio Theory (MPT) to get weights. However, I think I can optimize more than by auto-change weights with the different patterns of the market. I have searched the papers about this problem. But I can't find using paper. Can you help me, please! Thank you so much.
1
-
$\begingroup$ "I think I can optimize more than by auto-change weights with the different patterns of the market", would you care to elaborate how you think you can optimize your portfolio setup better? Depending on the portfolio setup, you can estimate the covariance matrix using higher sampling frequencies, a "better" volatility model etc to get a more accurate estimate, and thus get better weights (if you want to put your faith into MPT). $\endgroup$– PlebCommented Apr 5, 2021 at 8:06
Add a comment
|