Questions tagged [portfolio-selection]

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24 votes
1 answer

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 ...
Ram Ahluwalia's user avatar
3 votes
3 answers

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?.
user3481555's user avatar
10 votes
1 answer

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 ...
nxstock-trader's user avatar
8 votes
3 answers

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 ...
Zach's user avatar
  • 1,381
5 votes
2 answers

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 ...
nxstock-trader's user avatar
2 votes
1 answer

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 ...
Monte's user avatar
  • 21
1 vote
5 answers

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?
ChinG's user avatar
  • 115
0 votes
1 answer

Quantatively identifying stocks to short when overall market starts to roll-over

Lets say we are seeing the market starting to top right now. Obviously, this leads to positioning on the short side. My issue is that I have a wide choice of stocks to short (overwhelmed by choice). ...
cephalopod's user avatar