All Questions
Tagged with sharpe-ratio optimization
11 questions
2
votes
1
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228
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Proof of weights maximizing sharpe of a portfolio
Given a portfolio of $n$ assets with mean vector $\mu$ and correlation matrix $\Sigma$, the optimal weights $w$ on the $n$ assets to maximize overall sharpe is found by
$$\max_{w:||w||=1}{\dfrac{\mu^T ...
- 123
-3
votes
1
answer
173
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sharpe ratio, convert into convex function, not understand that constraint, [duplicate]
I am reading about tranforming sharpe ratio into convex problem
After some following, its converted into min xTxy s.t. (u-rf e)x = 1
...
- 1
0
votes
0
answers
305
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Constraints in a Mean-Variance Optimization Case
Might be a repeat question, feel free to close if it is.
I am trying to perform a mean-variance optimization (maximizing the Sharpe ratio) for lets say 5 assets. Besides the weights of the assets ...
- 2,231
0
votes
0
answers
68
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Adjusting the p-value of a strategy for number of parameters
Let's say I have some metric and I'm trying to evaluate whether it's predictive with respect to returns. I plan to only take trades where the value of the metric is above a certain threshold, such ...
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4
votes
3
answers
6k
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mean-variance optimization === max sharpe ratio portfolio?
Noobie here. I just wanna ask a simple question:
in the context of portfolio optimization, is Mean-Variance optimization the same as the max sharpe ratio portfolio?
- 153
1
vote
1
answer
341
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Optimising returns weighted by Sharpe ratio in the context of Supervised Learning
In the Kaggle Jane Street market prediction competition we are put in a Supervised Learning Framework to deal with 'trade opportunities'. That is, we are given instances of previous trade ...
- 917
8
votes
3
answers
7k
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Maximum Sharpe portfolio (no short selling restrictions)
Suppose we have $n$ assets whose expected return vector is $r$ and is positive, and whose covariance matrix is $\Sigma$. Is there a closed form or quasi closed form (like the eigenvector of a matrix ...
- 913
4
votes
2
answers
5k
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maximize Sharpe ratio in portfolio optimization
I am trying to understand how to maximize Sharpe ratio in portfolio optimization.
$\boxed{\begin{align}\max\>&\frac{r^Tx-r_f}{\sqrt{x^TQx}}\\ & \sum_i x_i = 1\\ & x_i\ge 0\end{align}}$
...
- 423
5
votes
3
answers
3k
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How can I find the portfolio with maximum Sharpe Ratio - Using Lagrange Multipliers
In Markowitz' portfolio theory we can construct portfolios with the minimum variance for a given expected return (or vice versa). Across expected risks, this traces out the well-known efficient ...
- 207
0
votes
1
answer
4k
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How to maximize the Sharpe ratio given historical closing prices?
I have historical adjusted closing prices for $k$ stocks over $n$ days. I have a budget of $B$ dollars, and I'd like to choose allocations for each of the stocks, $a_{1:k}$, such that I maximize the ...
- 103
7
votes
2
answers
6k
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How to define the objective function for a custom optimization problem?
I would like to find the allocations that would minimize some user-defined metric (Sortino, minimum drawdown, etc) for a portfolio of assets.
How would one go about formulating the objective ...
- 994