What are the approaches to optimise a portfolio where for each security the analyst specifies expected return (10%) and downside risk (-3%)?

  • $\begingroup$ It is a nice idea but does not take into account the interrelationship (correlations) among different assets. $\endgroup$
    – nbbo2
    Apr 7, 2022 at 7:59
  • $\begingroup$ You could create a covariance matrix using historical correlations and estimated variance... $\endgroup$ Apr 7, 2022 at 18:08


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