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The arithmetic vs. geometric mean distinction is a good one to note. Since you mention risk-adjusted return, do you favor any particular approaches to optimiza
by blevin 7y ago
The arithmetic vs. geometric mean distinction is a good one to note. Since you mention risk-adjusted return, do you favor any particular approaches to optimization? ReSolve makes a pretty strong case for numerical optimization, summarized by this decision tree based on prior beliefs:
https://twitter.com/gestaltu/status/1044977487556595714 https://twitter.com/gestaltu/status/1044977487556595714
- darawk 7y agoI generally prefer using something like scipy.minimize to maximize the expected sharpe ratio with returns de-magnified, which causes the optimization to be closer to a minimum variance portfolio.