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It looks like the optimal weights for AMZN and AAPL are negative. That doesn't seem possible unless you're shorting them, but that's a quite different risk prof
by wiredfool 14y ago
It looks like the optimal weights for AMZN and AAPL are negative. That doesn't seem possible unless you're shorting them, but that's a quite different risk profile than going long.
- wtvanhest 14y agoThat is just another point of optimization he needs to add.
- wiredfool 14y agoIt doesn't look like there are any limits on the weighting, even on the high end. Furthermore, he's using closing price, not adjusted closing price. So splits and dividends aren't included. (which is most of the return in MSFT for the last 8 years or so).
- karamazov 14y agoIt's easy to switch to adjusted closing price - there's a 'which_price' dictionary that has adjusted price as an option. The weight limits do go a bit crazy if you can get close to 0 variance (but that's hard to do in real life).