All Questions
3 questions
2
votes
4
answers
330
views
Cant replicate minimum variance portfolio variance by simulating many random portfolios in R
I have computed the theoretical minimum variance portfolio using the 30 stocks in the Dow.
The formula used is:
$$\underset{N\times 1}{\omega_{mvp}}=\frac{\lambda}{2}\cdot \Sigma^{-1}\iota=\frac{\...
- 63
0
votes
0
answers
85
views
optimize.portfolio not processing 'mean' objective
I've just started investigating the capabilities of the PortfolioAnalytics package. I've had it working for smaller considerations, around 20 stocks. These return all objectives I have registered (...
- 1
1
vote
2
answers
460
views
Portfolio optimisation - Non brute force solutions to optimisation problems
Recently I wrote a program in Python which extracts stock data for a designated period and frequency of the predetermined stocks and then optimises the portfolio using the Sharpe ratio. In order to ...
- 257