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
Many people are of the opinion that R has a corner on convenient data analysis. That may or may not be true. But now R literally has a corner that [...]
jun 25, 26
The most likely topics to appear here are: the R language statistics programming in general optimization