For the factors, you can use statistical factors extracted from the asset return series. In this example, you use principal component analysis (PCA) to extract statistical factors [1]. You can then use this factor model to solve the portfolio optimization problem. ...
Factor models can be used within general portfolio optimization problems, such as mean-variance optimization, expected utility maximization, and mean-risk optimization, with various measures of risk, including conditional Value-at-Risk, as well as the representation of risk constraints and constraints ...
in the second investment strategy. The second investment strategy uses a principal component analysis (PCA) factor model to estimate the covariance matrix with the number of factors obtained with covarianceDenoising. The PCA factor model follows the process in Portfolio Optimization Using Factor Models....
A general class of dynamic factor models is used to obtain optimal bond portfolios, and to develop a duration-constrained mean-variance optimization, which can be used to improve bond indexing. An empirical application involving two large data sets of U.S. Treasuries shows that the proposed portf...
Finally, for some reason, we wanna add some additional factor into the overall riskattributionand formulate it as an additional penalty term in the u-func. The setup is pretty similar to the classical structural risk calculation. Jump to Taxable Optimization (where I gonna spend all the Fri af...
Riskfolio-Lib is a library for making quantitative strategic asset allocation or portfolio optimization in Python made in Peru 🇵🇪. Its objective is to help students, academics and practitioners to build investment portfolios based on mathematically complex models with low effort. It is built on...
The purpose of this paper is to demonstrate that a portfolio optimization model using the L$_1$ risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its advantages over equilibrium models. In particular, ...
We conduct out-of-sample back-tests to show that in most cases different well-established portfolio selection rules applied on the reduced asset universe are able to improve alpha relative to different prominent factor models.Thomas Trier Bjerring...
To illustrate how to use the portfolio optimization tools in hedge fund management, two popular strategies with dollar-neutral and 130-30 portfolios are examined. The dollar-neutral strategy invests equally in long and short positions such that the net portfolio position is0. Such a portfolio is ...
Error using mv_optim_transform (line 238) Cannot obtain finite lower bounds for specified portfolio set. Error in Portfolio/estimateFrontier (line 63) [A, b, f0, f, H, g, lb] = mv_optim_transform(obj); Since the portfolio optimization tools require a bounded portfolio set, these errors...