New answers tagged mean-variance
0
votes
Accepted
Hedging with peer companies and optimize the weights
One method is to calculate the minimum variance (hedged) portfolio (MVP), given a fixed holding in one security. That is, given that you invest one dollar in one security, how much should you invest ...
Top 50 recent answers are included
Related Tags
mean-variance × 155portfolio-optimization × 79
modern-portfolio-theory × 54
markowitz × 27
optimization × 23
portfolio-management × 20
programming × 12
portfolio × 11
covariance × 8
sharpe-ratio × 6
variance × 6
covariance-matrix × 6
moments × 6
risk × 5
monte-carlo × 5
correlation × 5
asset-allocation × 5
expected-return × 4
portfolio-selection × 4
utility-theory × 4
time-series × 3
capm × 3
reference-request × 3
beta × 3
estimation × 3