Portfolio Optimization

– Markowitz mean-variance optimization as applied to strategies.

– Theoretical derivation of Kelly formula.

• Exercise: Testing the implications of Kelly formula.
• Exercise: Finding the optimal allocations of N strategies based on Kelly formula.

– Simpler ways to allocate leverage.
• Exercise: Experimenting with variations of the optimization scheme to achieve better out-of-sample performance.Portfolio Optimization

Posted February 06, 2015 in: by ammin

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