David Nehme
• Member for 10 years, 4 months
• Last seen more than a month ago

You are correct that you can compute Sharpe ratios on portfolios with any return distribution. The issue is comparing Sharpe ratio's of non-normally distributed portfolios (which in reality is almost ...

If $Q$ is your covariance matrix, and $r$ is a vector of your expected returns, then the maximum Sharpe ratio is given by the following math program. $${\rm maximize} \frac{r^t x}{\sqrt{0.5 x^t Q x}}$$...

Without the discrete constraints, the minimum tracking error/variance problem is a quadratic program. If you constrain the tracking error, you have a convex quadratically-constrained problem which is ...

The VaR constraint is convex and quadratic and can be handled with any solver supports quadratic constraints, like Guribi, cplex (from IBM) or xpress (from FICO). The CVaR can be formulated as a ...

An insurer might model the filing of claims as a Poisson process, but the cumulative amount of the claims as a compound Poisson process. As an example, suppose a company has issued a large large ...

Rewriting the condition as $$\rho\left({X_1+X_2 \over 2}\right) \leq {\rho(X_1) + \rho(X_2) \over 2}$$ You can interpret it as a portfolio containing the average holdings of two other portfolios ...

The z-spread and OAS both are measures of the difference in price between an ABS and a zero-risk bond. The OAS and z-spread are not spreads that a bond with and without options should require, they ...

The way you are trying to solve these equations makes assumptions about the rates less than 10 years and therefore the shape of the yield curve. \\$90 is the value of 8% coupons plus a 10-year zero-...

You are asking two different questions: what would be the model result, and what would be the actual performance of an actual portfolio. The optimal model results with the S&P 1500 will be at ...