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Linear programming and factor models vs M-V optimization?

I have an academic background, but I'm also familiar with practical applications in the field. Large hedge funds like Citadel or AQR often employ academics in think-tank environments to develop ideas ...
blizzard16's user avatar
1 vote

Linear programming and factor models vs M-V optimization?

Here are just some musings so someone can correct me if anything I've said is incorrect: You are always estimating future returns of your assets. This can be done via a factor model, fundamental ...
LattePrincess's user avatar
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If Kelly and tangent portfolios have the same weights, do they differ only empirically?

So to begin with the terms mentioned ,The Kelly portfolio is based on optimizing the growth rate of wealth over the long term, considering the probabilities of different outcomes. On the other hand, ...
Shivam Singh's user avatar
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Kelly criterion for portfolio optimisation with variance optimisation

After careful study I found that Kelly portfolio composition and the tangent portfolio composition are proved to be the same using matrix algebra. Namely the portfolio composition that maximize the ...
KIM Kyuhyong's user avatar

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