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

See more

Explore more content and blog posts.

  • jun 25, 26

    R database interfaces

    Several packages on CRAN provide (or relate to) interfaces between databases and R.  Here is a summary, mostly in the words of the package descriptions.  Remember that package names are [...]

  • jun 25, 26

    Bricks not monoliths

    Chapter 32 of Tao Te Programming advises you to make bricks instead of monoliths.  Here is an example. The example is written with the syntax of R and is a [...]

  • jun 25, 26

    The three-dots construct in R

    There is a mechanism that allows variability in the arguments given to R functions.  Technically it is ellipsis, but more commonly called ”…”, dots, dot-dot-dot or three-dots. Basics The three-dots [...]