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2 votes

Improving Portfolio Optimization on a Mean-Variance Basis

Yes there is a big benefit in doing research on improving MVO. After all, the tangency portfolio is the best portfolio under several not super crazy assumptions. There has been a lot of work and ...
phdstudent's user avatar
  • 8,421
2 votes

Asset rate (elasticities ?) of substitution

Your language needs to be more clear. What do you mean by a shock to asset 2? A decrease in price of asset 2, should not change your allocation and have no spillovers (since the expected return of ...
phdstudent's user avatar
  • 8,421
1 vote

Scenario in portfolio optimization

I took a quick look at your cited paper. On Your Questions: Is it okay? What are the other ways to define scenarios? What lengths of such scenarios are the best? Is it okay? - Yes, it refers to a time ...
KaiSqDist's user avatar
  • 1,409
1 vote
Accepted

Subpar Results of Historical Portfolio Optimization with Few Assets

Yes, that is possible. In fact, this possibility (and its likelihood) was made well-known by this paper: ...
Enrico Schumann's user avatar
1 vote

Reverse Optimization: finding the returns that satisfy specific weights given one known return

OP takes Black-Litterman reverse optimization expected returns, overrides one of the values with a different expected return, and finds that the resulting portfolio didn't match the original one. This ...
John's user avatar
  • 5,421

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