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Portfolio Optimization

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 …

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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 …

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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 …

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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 …

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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 Click to access Matlab_Port_Opt.pdf http://www.quantatrisk.com/applied-portfolio-optimization-risk-management-matlab-ebook/ …

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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 …

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