# Questions tagged [portfolio-optimization]

Questions related to mathematical methods used for searching of optimal portfolio structures. Also related to questions on optimal structure of portfolios from both strategic and tactical point of view

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### Optimal Portfolio from Efficient Frontier

I found this code on plotly site, using CVXOPT to find the efficient frontier, and then, the optimal Portfolio. The optimal function is ...
1 vote
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### text books or online courses for a math student to learn asset pricing [closed]

I just got my bachelor degree in math and statistics and will take a mathematical finance master degree. I have not learned any financial courses and want to teach myself asset pricing. I have seen ...
75 views

### Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage

Please bear with me - I know I'm supposed to do this with a bunch of Greek letters but I don't know how so I'll just describe the data I have and what I am trying to do. I have an expected return for ...
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142 views

### Sampling in Portfolio Optimization

I recently came across the following method for portfolio optimization: Let $Y$ be a random variable that describes the returns of $n$ assets. Fix a constraint matrix $A \in \mathbb{R}^{m \times n}$ ...
58 views

### What could be a real-life example of sectors and instruments in a Financial Market in the context of this Portfolio Optimization Problem?

Recently I've been reading about mathematical models in finances and economics; however, I encountered this book chapter: Nagurney, A. (1993). Financial Equilibrium. In: Network Economics: A ...
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### How to incorporate ESG in Portfolio Optimization?

I currently have a potential investment universe of several thousand stocks and would like to calculate an optimal portfolio that incorporates ESG criteria as well as risk and return. The model should ...
53 views

### Dynamic portfolio optimization with cumulative prospect theory

i'm new to this forum and i hope i can get some help or at least some guidance how to tackle the following problem: I'm tasked to write a VBA Macro that conducts an intertemporal portfolio ...
45 views

### Portfolio optimisation with estimated positive and downside returns

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

### Portfolio optimization - Correlation risk stress testing - DCP

I have a script based on Python/CVXPY trying to define the portfolio with the maximum expected return, given some risk constraints. I would like to introduce a constraint that limits correlation risk. ...
1 vote
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### Portfolio optimisation approach used in the industry

I was wondering what portfolio optimisation is used by professionals. I know about these 3: Mean-variance Black-Litterman Kelly Criterion Which one is preferred? Is there some other more robust ...
68 views

### Kelly criterion for portfolio optimisation with variance optimisation

I was wondering how Kelly criterion can be used for portfolio optimisation in the case one would like to optimise the portfolio for minimum variance. I understand how the Kelly criterion can be used ...
59 views

### Pareto comparison of return distributions

In making a choice among financial strategies, each of which has some estimated return distribution, some strategies will clearly be better than others. But many times, the choice is a question of ...
73 views

### Why do we use half of the risk in objective function of markowitz portfolio theory

In some documents I have seen objective function of markowitz portfolio theory is as follows. minimize 1/2 * w'Σw where w is weights Σ is covariance matrix I could ...
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### Why is the Sortino ratio non convex and also non concave?

I am considering as my objective the Sortino ratio: $\frac{\mu^{\top}x-R}{\sqrt{\mathbb{E}[(min\{0,(r-\mu)^{\top}x\})^2]}}$ In my textbook they state that this ratio just like the Sharpe ratio is ...