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Portfolio optimization with Scipy in Python

I performed Scipy portfolio optimization in two scenarios: 1) when I cannot lend or borrow at the risk-free rate; 2) when I can lend and borrow at rf=1.5%. Now, optimal risky portfolio weights anyway ...
Maurizio Marinaro's user avatar
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2 answers
131 views

How to apply CLT on scaled symmetric random walk--Shreve unclear

"Theorem 3.2.1 (Central limit)" in the book "Stochastic Calculus for Finance II Continuous-Time Models" by Steven Shreve says: Theorem. Fix $t\geq0$. As $n\to \infty$, the ...
Lanazo's user avatar
  • 31
2 votes
0 answers
47 views

Optimal Wallet Allocation for Algorithmic Trading under Random Alert Frequencies

I am an algorithmic day trader. I am trying to automate certain patterns on the stock markets. Suppose I have a model $M$ (with expected value $E$ and variance $V$) and a wallet with $X$ dollars in it....
David's user avatar
  • 33
2 votes
1 answer
320 views

Generating normally distributed random numbers using Sobol generator in QuantLib

I am trying use low discrepancy Sobol RNG to generate normally distributed random numbers and fill an Eigen matrix with those random numbers. The matrix represents a basket of 5 assets (rows) each ...
Yoshiro's user avatar
  • 23
2 votes
1 answer
279 views

Does random outperform naïve investment?

Randomly pick a (long only) portfolio from all possible portfolios over the S&P 500. The expected performance of this portfolio should equal the actual performance of the S&P 500. In contrast, ...
kinnla's user avatar
  • 131
3 votes
0 answers
139 views

How do you adapt Marcenko-Pastur for EWMA correlation matrix

Hi to denoise the correlation matrix you can use the marcenko pastur distribution. Even without getting into its detail,. its easy, you just use t/n to get the lambda value under which you will ...
NachoDR's user avatar
  • 71
0 votes
2 answers
212 views

Reliable random number generation for Monte Carlo

Monte Carlo methods typically require us to construct very large vectors of numbers. In doing so it is often of great importance that the generated random numbers are independent. My question here, as ...
Jesper Tidblom's user avatar