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

annotated slides (pdf)

Presented 2010 June at the London Quant Group.

Kommentarer inaktiverade för Optimising and Constraining Portfolio Distances

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