Tag Archives: Portfolio Optimization

Source code walkthrough of portfolio optimization

Source code walkthrough of portfolio optimization

Get access as described in my video

I will be testing these theories hopefully by the end of the week. If they all check out, i would expect this rate to go up in coming weeks.

JOIN HERE

–>  GET IMMEDIATE ACCESS HERE <–

I will give you my Telegram chart group invite link as well for PERMANENT access

Our verified mesaurement for credibility

https://www.quantcast.com/quantlabs.net#trafficCard

 

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Portfolio Optimization for Expected Sortino ratio

Portfolio Optimization for Expected Sortino ratio

Correction has been made to adjust for highly volatile currency/forex pairs. This mix of optimal weights give highest forecasted Sortino ratio for the potential next time period.

http://www.investopedia.com/terms/s/sortinoratio.asp

http://www.investopedia.com/terms/s/sharperatio.asp

Corrected https://www.rcmalternatives.com/2013/09/sortino-ratio-are-you-calculating-it-wrong/

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Last call for FLASH SALE on this limited Portfolio Optimization TOOL

Last call for FLASH SALE on this limited Portfolio Optimization TOOL
 

That’s right, we are coming down to the wire with hours left on this sale. It is cheaper than your dinner!

Details:

LIMITED FLASH SALE MATLAB Source code and walkthrough video for this Portfolio Optimization Tool

Note: It looks like the source files have been pulled Mathworks.com so this is the only locations you can get this now

–> GET YOUR TOOL NOW HERE <– 

See the video below to see how this works with my NEW Matlab script to create an Excel spreadsheet import into this powerful tool

We did our LIVE Meetup event on this tool so you can view it clicking here.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How to access my LIVE DEMO event on this Portfolio Optimization Tool!

Reminder: How to access my LIVE DEMO event on this Portfolio Optimization Tool!

For this event tonite at 8 PM EST, I have hinted at:

http://www.meetup.com/R-Matlab-Users/events/223560204/

http://www.meetup.com/R-Matlab-Users/events/223560204/

I have stressed at the end as I am not using GotoMeeting since I am trying out Skype tonite:

HOW TO ACCESS:

I am now trying a new delivery method via Skype. I just created a special Skype account for these conferences. As a result, you can add me to your Skype Contact lists in order to establish a connection for this LIVE session. I will attempt to make this conference ‘call’ happen as of 8pm EST. If interested, please add my contact of quantlabs (at) outlook dot com to your contact list. From my research, I should be able to accommodate up to 25 people.

Please add me by 6:45 because I am not be able to add once I start my presentation at 8 PM.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMO

24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMO

This tool is awesome but before I introduce it, there is NO WHERE you can access it in a safe way when you try to download it from my recent attempts! Get details here:

https://quantlabs.net/blog/2015/06/portfolio-optimizer-tool-no-more-download/

If I am wrong, please tell me so I repost any potential good news. ;->
I have this tool so let’s demo it on Monday nite at 8 PM EST.

Also, I have a 30 minute tutorial with an Excel spreadsheet generator that can download Yahoo Finance data into this tool.

I also have a limited flash sale which will close midnight tomorrow MONDAY too.

Not interested in any of that, let’s talk about your portfolio to ensure you weight your assets correctly for maximum returns!

Get more info on this tool with a video demo at the above link or here if your eyeballs are too lazy to look:

https://quantlabs.net/blog/2015/06/portfolio-optimizer-tool-no-more-download/

As said, if you are interested in this limited flash sale, get info here:

http://quantlabs.net/academy/limited-flash-sale-matlab-source-code-and-walkthrough-video-for-this-portfolio-optimization-tool/
HOW TO ACCESS:

I am now trying a new delivery method via Skype. I just created a special Skype account for these conferences. As a result, you can add me to your Skype Contact lists in order to establish a connection for this LIVE session. I will attempt to make this conference ‘call’ happen as of 8pm EST. If interested, please add my contact of quantlabs (at) outlook dot com to your contact list. From my research, I should be able to accommodate up to 25 people.

 

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24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMO

Monday, Jun 29, 2015, 8:00 PM

Skype
Your Home or Office Toronto, ON

8 Researching Traders Went

24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMOThis tool is awesome but before I introduce it, there is NO WHERE you can access it in a safe way when you try to download it from my recent attempts! Get details here:https://quantlabs.net/blog/2015/06/portfolio-optimizer-tool-no-more-download/If I am wrong, please tel…

Check out this Meetup →

24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMO

Monday, Jun 29, 2015, 8:00 PM

Location details are available to members only.

2 Members Went

24 hour ‘evil genius’ notification plan: Portfolio Optimization Tool LIVE DEMOThis tool is awesome but before I introduce it, there is NO WHERE you can access it in a safe way when you try to download it from my recent attempts! Get details here:https://quantlabs.net/blog/2015/06/portfolio-optimizer-tool-no-more-download/If I am wrong, please tel…

Check out this Meetup →

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Should I bet the farm on Apple Mac OSX for future risk management and portfolio optimization with Java and Matlab?

Should I bet the farm on Apple Mac OSX for future risk management and portfolio optimization with Java and Matlab?

With the weak numbers from Microsoft, and surging growth in Apple product, should we bet our farm on Apple technologies with our next cycle of critical trading software components?

Since last week;s financial numbers from both companies, it seems Apple is definitely strengthening with their mobile devices with stellar numbers. As for Microsoft, It does not look bright especially they will now be offering free Windows 10 editions. Is that desperation to stay relevant? Is the market pretty well moving away from Microsoft technologies despite their use on Mono and Linux technologies?

If you know I have always loved Microsoft and .NET product over the years, it is easy to install and maintain. The problems lies in the future of this technology. Apple numbers are increasing even on my own site of 20% of Mac and IOS combined. Windows has been dropping over the years to the current rate of 66%. As I watch more and more Youtube videos, developers are moving towards Apple Mac OSX and even Linux Desktop for their tools.

As I am looking at more major software components like risk management and portfolio optimization, I am looking at combing them with this pretty good Trade Manager which is Java based.  I plan to use Matlab for these risk management and portfolio optimization pieces which is cross platform including Apple OSX support. The new Java FX 2 platform I must say is a huge improvement but still needs loads of maturing.

Let me know what you think via my Facebook group https://www.facebook.com/quantlabsnet

Thanks

Here are some broker examples for Apple supported languages like:

Oanda:

http://developer.oanda.com/exchange-rates-api/v1/sample-code/

http://developer.oanda.com/rest-live/sample-code/

Interactive Brokers:

https://www.interactivebrokers.com/en/index.php?f=5041

ava to Socket Professional Very robust and reliable; high performance. Available for all platforms including Windows, Mac, UNIX/Linux.

Join my FREE newsletter to learn more about this Apple technology drive

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Real world portfolio optimization examples in Matlab with examples and source code?

Real world portfolio optimization examples in Matlab with examples and source code?

There are so many here but just Google Search:
portfolio optimization matlab

This would be interesting to see how it could implement into the Trade Manager software I am looking at
http://www.mathworks.com/discovery/portfolio-optimization.html
http://www.mathworks.com/help/finance/mean-variance-portfolio-optimization.html
http://www.mathworks.com/help/finance/examples/portfolio-optimization-examples.html
http://www.mathworks.com/videos/getting-started-with-portfolio-optimization-68762.html
http://www.mathworks.com/help/finance/portfolio-class.html
http://www.mathworks.com/help/finance/portfolio-optimization-theory_bswiwm6-1.html
http://www.mathworks.com/help/finance/portfolio-optimization-functions.html

http://apps.olin.wustl.edu/faculty/Ringgenberg/index_files/Matlab_Port_Opt.pdf

Applied Portfolio Optimization with Risk Management using Matlab

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Entropy Pooling in Quant analytics—> Portfolio Optimization?

Entropy Pooling in Quant analytics—> Portfolio Optimization?

I confess I am charmed by the speed and elegance of the entropy-pooling approach. In Meucci’s paper “Fully Flexible Views – Theory and Practice” paper it states in the Introduction: “The output [of entropy pooling] is a distribution, which we call “posterior”, that incorporates all inputs and can be used for risk management and portfolio optimization.” Exactly how does one perform asset allocation based on the updated probabilities for the various joint-scenarios? For example — suppose one has J = 50,000 joint scenarios. Entropy pooling furnishes revised probabilities corresponding to these scenarios. How does construct an optimal portfolio (i.e. max some utility function choosing security weights) given these J discrete scenarios? Does one optimize a single probability weighted average utility function (consisting of 50,000 components!)? Or does one use a re-sampling approach (i.e. optimize each joint-scenario) and probability weight each of the J-weight vectors?

 

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You can use those probabilities to create (effectively) a weighted average mean or weighted average covariance matrix. Then do optimization on those, rather than the whole thing. My recommendation is to take a look at some of the code he provides in the examples. Sometimes things are easier to understand from the perspective of code.

More generally, the benefit of a scenario approach is that it is much better for calculating Expected Shortfall, which is critical for accounting for tail risk of your portfolio.

 

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I have gone thru “Entropy Pooling – Theory & Practice”, “Fully Flexible Extreme Views”, “Flexible Probabilities”, “Robust Bayesian Allocation”, etc. including the Matlab code. There is no case where an optimal allocation is identified based on a numerical or monte carlo (as opposed to analytical) joint distribution. I’ll take another gander but if something comes to mind, please let me know. BTW, I’ve enjoyed your other contributions on this site. Keep it up and thanks for the suggestion!

 

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Go in the Entropy Pooling one, check RankingInformatiom\EffcientFrontier.m or ButterflyTrading\LongShortMeanCVaRFrontier.m, both basically do what you’re trying to understand.

 

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First I admit that I did not study in detail paper and code of the EP approach.

However, if you have scenarios and probabilities a natural choice is to perform asset allocation in a linear programming framework. See “Portfolio Construction and Risk Budgeting“ (B. Scherer) the chapter on Scenario Optimization

 

 

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