Main points:
- Usually in portfolio optimization the utility is primary and constraints secondary
- We get a useful point of view if we put constraints primary and utility secondary
- random portfolios give us this point of view
- one way of generating random portfolios is outlined
- constraining fractions of portfolio variance per asset is a good alternative to weight constraints
Presented 2011 December at the Computational and Financial Econometrics conference.
Kommentarer inaktiverade för Portfolio Optimisation Inside Out
jun 25, 26
The function in question is scriptSearch. I’m not much for superlatives — ”most” and ”best” imply one dimension, but we live in a multi-dimensional world. I’m making an exception. The [...]
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