Sharpe ratio optimization for 25 blue chips - video

Sharpe ratio optimization for 25 blue chips - video 


website for portfolio optimization - https://asset-master.net

Comments

Post a Comment

Popular posts from this blog

2024-09-07. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.

2024-09-07. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips. All the optimization performed with the help of the https://asset-master.net/ website. Optimization results Data download started at: 2024-09-07 05:04:58 UTC Portfolio optimization completed at: 2024-09-07 05:05:10 UTC Portfolio allocation: Symbol Quantity Expected return Volatility Close price Weight Share in alloc Date From Date To MSFT 7 0.278 0.265 401.70 2.70e-01 2.86e-01 2013-01-02 2024-09-06 AAPL 4 0.246 0.282 220.82 8.49e-02 8.99e-02 2013-01-02 2024-09-06 UNH 3 0.243 0.250 596.88 2.05e-01 1.82e-01 2013-01-02 2024-09-06 NOC 3 0.207 0.233 515.00 1.37e-01 1.57e-01 2013-01-02 2024-09-06 ABBV 4 0.197 0.263 193.40 8.96e-02 7.87e-02 2013-01-02 2024-09-06 LMT 2 0.196 0.215 566.63 1.24e-01 1.15e-01 2013-01-02 2024-09-06 KR 17 0.145 0.272 52.27 8.90e-02 9.04e-02 2013-01-02 2024-09-06 All stocks: Symbol Quantity Expected return Volatility Close price Weight Share in al...
Read more
Mean - variance optimization. Minimize the portfolio volatility. Optimization of some function could be very difficult problem if we are dealing with complex objectives and constraints. But the Convex optimization problem is one of well - known class of problems which is very useful for finance. A convex problem has the following form: $$ \begin{split}\begin{equation*} \begin{aligned} & \underset{\mathbf{x}}{\text{minimize}} & & f(\mathbf{x}) \\ & \text{subject to} & & g_i(\mathbf{x}) \leq 0, i \in \{ 1, \ldots, m \} \\ & & & A\mathbf{x} = b,\\ \end{aligned} \end{equation*}\end{split} $$ Where $ \mathbf{x} \in \mathbb{R}^n$ , and $f(\mathbf{x}), \; g_i(\mathbf{x})$ are convex functions [1]. Maximization of return given target risk. In the portfolio optimization problem we have some amount of money to invest in any of $n$ different assets of some set of assets. We can choose what fraction $...
Read more
Image
How to Pick Good Stocks. There is a way to find a good stocks for your investments portfolio that uses stock price history for evaluation of the portfolio expected return and volatility. It's called the portfolio optimization. There is a lot of ways to optimize the stock portfolio, see for example the references. I will describe the process of optimizing your portfolio by maximizing its Sharpe ratio with the help of the Asset-Master website for portfolio optimization and it can be used for free. The Sharpe ratio can be though of as a measure of return to a risk, or as the measure of the portfolio "effectiveness". If you don't interested in underlying math, you can skip to the Steps section. $Sharpe\;Ratio = \frac{R_p - R_f}{\sigma_p}$ where $R_p$ is the expected excess return of portfolio $R_f$ is a risk - free rate $\sigma_p$ is the standard deviation of the portfolio return Return of the portfolio for holding period can be ...
Read more