Publications by R on OSM
Weighting on a friend
Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than simulating portfolio weights. We also nee...
11433 sym R (19403 sym/2 pcs) 20 img
Weighting on a friend
Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than simulating portfolio weights. We also nee...
11433 sym R (19403 sym/2 pcs) 20 img
I like to MVO it!
In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a wider range of return and risk res...
10246 sym R (22327 sym/2 pcs) 16 img
I like to MVO it!
In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a wider range of return and risk res...
10246 sym R (22327 sym/2 pcs) 16 img
I like to MVO it!
In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a wider range of return and risk res...
10246 sym R (22324 sym/2 pcs) 16 img
Satisficing and optimizing
In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is cho...
10944 sym R (13603 sym/2 pcs) 14 img
Satisficing and optimizing
In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is cho...
10944 sym R (13603 sym/2 pcs) 14 img
Satisficing and optimizing
In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is cho...
10944 sym R (13601 sym/2 pcs) 14 img
Sequential satisficing
In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We found that you can shoot for high returns or high risk-adjusted returns, but rarely both. Assuming ...
9315 sym R (22713 sym/2 pcs) 14 img
Sequential satisficing
In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We found that you can shoot for high returns or high risk-adjusted returns, but rarely both. Assuming ...
9315 sym R (22713 sym/2 pcs) 14 img