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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 ...


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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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