Sharpe ratio optimization for 25 blue chips - video

Sharpe ratio optimization for 25 blue chips - video 


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

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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...
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Expected return and covariance matrix calculation. Expected return of the asset for holding period can be calculated as $R = \frac{V_f - V_i}{V_i}$ where $V_f$ = final value, including dividends and interest $V_{i}$ = initial value and the excess return formula is $R_p = R - 1$ $V_{i}$ = initial value Expected return of the asset for a long time period in most cases calculated as the geometric mean of the asset return for a small-time periods. $\overline{R} = \left(\prod _{i=1}^{N}a_{i}\right)^{\frac {1}{N}}={\sqrt[{N}]{a_{1}a_{2}\cdots a_{N}}}$ or, equivalently, as the arithmetic mean in logscale: $\overline{R} = \exp {\left({{\frac {1}{N}}\sum \limits _{i=1}^{N}\ln a_{i}}\right)}$ where $a_i$ are the asset returns for each period, $N$ is a number of periods. The expected return of the linear combination of $N$ random variables $x_i$ with coefficients $w_i$ correspondingly can be calculated as $\overline{R} = \sum _...
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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 ...
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