New answers tagged optimization
2
This might not be a direct response, but just some general advise / ideas.
I think giving you "optimal" parameters is not a straight realistic response. It depends on the security you are analizing. For instance, what you can do is grab a set of historical years, run multiple simulations on different parameters, and check which ones provide you the ...
3
Let's stick with the nomenclature in the literature and let $\gamma$ denote the decision maker's risk aversion coefficient. The optimization problem is
$$
\max_{\mathrm{w}} \mathrm{w}^T\mathrm{\mu}-\frac{1}{2}\gamma \mathrm{w}^T\mathrm{\Sigma}\mathrm{w} \quad s.t. \mathrm{w}^T\mathrm{e}=1
$$
where $e$ denotes a vector of ones. The corresponding Lagrangean ...
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