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Results tagged with portfolio-optimization
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user 13334
Questions related to mathematical methods used for searching of optimal portfolio structures. Also related to questions on optimal structure of portfolios from both strategic and tactical point of view
6
votes
1
answer
506
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How can I use a more efficient volatility estimator to improve the co-variance matrix?
Using mean-variance, I need to estimate a co-variance matrix $\Sigma$ to obtain the best weights in my portfolio.
However, there are other ways to compute the volatility $\sigma$ than historical stan …
- 217
1
vote
0
answers
55
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How to hedge a MV portfolio against crises
I have constructed an adjusted Mean-Variance portfolio optimization method that optimizes the exposure in a set of X assets.
The portfolio works perfectly fine during normal periods (even when there …
- 217