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
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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