# Questions tagged [optimization]

The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.

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### There are several ways optimize portfolio, why use Black Litterman rather than Mean variance

I know there are two ways to optimize portfolio. What are the limitations and advantages by using Black Litterman over Mean variance.
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### Maximizing sharpe ratio using cvxpy or cvxopt

I have a dataframe $n$ by $m$ representing $m$ timeseries of returns (each column is a different time series) with total $n$ number of observations, I want to find weight vector of length $m$ such ...
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### CVaR portfolio optimization with risk aversion parameter

I'm trying to implement the Rockafellar's function described in this paper http://past.rinfinance.com/agenda/2009/yollin_slides.pdf with a risk aversion parameter for my thesis. The function to ...
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### Error in optimize.portfolio with transaction costs constraint

I am experimenting with the PortfolioAnalytics package to optimize portfolio with dollar neutral and transaction costs as constraints to the quadratic utility objective function. A sample R snippet is ...
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### PortfolioAnalytics: Training window based on entire history before rebalancing in 'optimize.portfolio.rebalancing'?

I am fairly new to PortfolioAnalytics and R in general. I am trying to do some backtesting of a minimum variance portfolio. I have weekly, monthly, quarterly and yearly return data of 3 selected ...
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### Minimizing Correlation to Index

In his PhD thesis in the chapter Market Neutral Portfolios, page 69, [1] Valle sets up an optimization problem which minimizes the absolute correlation of the portfolio log returns to the log returns ...
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### How to choose trades over time when capital is limited

Say I'm in the business of trading forward contracts. So at some point in time, I look at the markets, and determine a number of trades I could make. For each trade, I know the profit I expect to make,...
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### Generate P Value from stationary bootstrap following Politis & Romano (1994)

For my master thesis I am analyzing the performance of trading strategies. For this I need to avoid data snooping by utilising the FDR approach. I follow closely the procedure presented by Bajgrowicz &...
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