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Questions tagged [portfolio-selection]

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21
votes
1answer
2k views

Portfolio optimization with monte carlo sampling from predictive distribution

Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or ...
9
votes
1answer
2k views

Optimizing a portfolio of ETFs

I am aware of how to do mean-variance or minimum-variance portfolio optimization with constraints like weights must add to 1.0 no short sells max weight in any ticker using basic quadratic ...
3
votes
3answers
3k views

Handling Missing values in stocks returns when estimating the co variance matrix

What is the best way to handle missing values when stocks did not exist for the entire historical period?.
8
votes
3answers
429 views

Which ETFs should I use to test my portfolio selection algorithm?

I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it ...
0
votes
5answers
246 views

What can I use to measure of diversification?

I have to come up with a measure of diversification for trade (this can tie in closely to diversification as regards portfolios). Are there any well known measures of portfolio diversification?
3
votes
1answer
698 views

Reduce correlation in output of Minimum Variance Portfolio Optimization

After running a minimum variance portfolio optimization on a universe of ETF's I see the resulting portfolios tend to be composed of bond ETF or related treasuries/government ETFs. I suppose that ...
2
votes
1answer
1k views

Calculate Returns of Momentum Strategy (Overlapping Portfolios - Jegadeesh and Titman 1993)

I want to implement a Momentum Strategy, followed by Jegadeesh and Titman (1993) with overlapping Portfolios. I want to duplicate their results. Quick Link to the paper (Unfortunately the Method is ...