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Results tagged with portfolio-optimization
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user 17133
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
3
votes
1
answer
649
views
Different ways of portfolio optimization
There are different ways to optimize portfolios:
$$ \max R^Tw\tag{1}$$
or
$$ \min w^T \Sigma w\tag{2}$$
and finally using a risk tolerance $\lambda$:
$$ \min{(w^T\Sigma w-\lambda R^T w)}\tag{3}$ …
- 1,770
12
votes
1
answer
250
views
portfolio optimization averaging weights, what are benefits?
I'm playing around with different portfolio optimization techniques. Amongst others I was also looking at the resampling method, especially the one described in Meucci. I have two general questions re …
- 1,770
1
vote
1
answer
79
views
MPT and the connection to asset prices / initial capital
I have some question about MPT. Suppose we want to build a portfolio given $N$ assets: $A_1,\dots,A_N$. At time $t$ we build the portfolio using MPT, which yields some weight vector $w_t=(\lambda_1,\d …
- 1,770
2
votes
1
answer
968
views
reference question about portfolio optimization
I know the "classical" modern portfolio theory. However I have quite a lot of different sources. It seems that there is not a book which cover this topic in a rigorous way:
theory
application
exampl …
- 1,770
6
votes
2
answers
873
views
tail dependency for portfolio optimization
This question pops up in my head every few weeks and I'm struggling to really understand the concept / theory behind it.
We all know there are different kind of measures of dependencies out there. Fr …
- 1,770
3
votes
1
answer
242
views
Why is this utility function not picking up its penalty?
I was reading this seminal paper by Infanger. On page 40, Figure 11. was quite interesting. In particular I was interested in the top one, 19 Years and I wanted to reproduce this plot. To give some ba …
- 1,770
1
vote
Accepted
Why is this utility function not picking up its penalty?
The problem was a missing $W_t$ in the equation for correlation. I've updated the above code and did a rerun. We have now the following allocation which is much closer to the Infanger paper.
> solmat …
- 1,770