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Portfolio Optimization Maximizing Sharpe Ratio Allowing Shorts

Question 1: What shape will my optimization function take given these constraints? Using the figure below, the optimization function would "shift up". This is because as the optimization ...
KaiSqDist's user avatar
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2 votes

Optimal weights in portfolio after rebalancing

It depends what your optimization problem is. The simplest would be return maximization: $$\max_{w \geq 0} w^\top x \text{ subject to } \mathbf{1}^\top w$$ This is a standard linear program, and the ...
msantama's user avatar
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Excess Return Covariance Matrix is Singular - Cash return and risk free rate are the same

I believe this answers your question? "Adding" risk-free asset to covariance matrix after the fact but the answer is replacing cash with the riskless asset. The key message is either - ...
KaiSqDist's user avatar
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Reverse optimization: How to generate the expected portfolio returns given the weights and a series of constraints on those weights?

This is not yet an answer, but too long for a comment. Let's start without the box constraints and solely impose $\sum_iw_i=1, i.e. w^T\mathbf{1}=1$: $$ \begin{align} \max_w\quad & w^T\mathbf{\mu}-...
Kermittfrog's user avatar
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