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> There's actually one more thing I tried but didn't make it into the post - if we treat the 12 trading windows as distinct asset classes characterized by their
by shocks 6y ago
> There's actually one more thing I tried but didn't make it into the post - if we treat the 12 trading windows as distinct asset classes characterized by their own expected return/volatility plus the pair-wise correlations, it's possible to construct tangent portfolio/efficient frontier and get the optimal weights.
This was recently explored here [1] and here [2]
1: https://insignificantbits.com/2020/05/02/turnips/ https://insignificantbits.com/2020/05/02/turnips/
2: https://news.ycombinator.com/item?id=23058276 https://news.ycombinator.com/item?id=23058276
- hueyduck 6y agoExcellent point - I've actually read [1] but not [2]. It's worth noting that neither of them suffers from the same negative weights problem that I am seeing, which is probably due to the fact that 1) an explicit bound between 0 and 1 is imposed on the weights 2) (to a much lesser extent) the analysis is conducted conditional on a specific realized path as of Wednesday.