michaelv2
  • Member for 10 years, 9 months
  • Last seen more than 8 years ago
Optimizing a portfolio of ETFs
Accepted answer
8 votes

Using solve.QP in R, a straightforward approach is to add a binary exposure vector as an inequality constraint to your Amat matrix for each group that you want to constrain. The only catch is that ...

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Trade matching versus affirmation
3 votes

They essentially perform the same function, but CTM is newer (Oasys Global is being retired at the end of 2012). According to Omgeo's FAQ: What is the difference between this [CTM] workflow and the ...

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MPT: Adding constraint on minimum asset weight
1 votes

A very basic implementation using the quadprog package in R would look something like the following: library(quadprog) library(MASS) # -------------------------------------------------------- # ...

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How do I graphically represent the evolution of a covariance matrix over time?
1 votes

Minimum spanning trees are another option, with edges between nodes based on either Euclidean distances of the matrix or another distance measure of your choosing. They can be more effective at ...

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