or Goldilocks and the three little pigs
Main points:
- fundamental fund managers are unlikely to be satisfied with either portfolio optimization or reverse optimization
- they might have the idea of an ideal portfolio
- we can minimize the distance from the ideal portfolio to a portfolio that satisfies all constraints
- There may or may not be a use for series of random trades that start and end with specified weights
Presented 2010 June at the London Quant Group.
Kommentarer inaktiverade för Optimising and Constraining Portfolio Distances
jun 25, 26
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