k**u
发帖数: 698 | 1 【 以下文字转载自 Trading_System 俱乐部 】
发信人: liliwater (lyrist), 信区: Trading_System
标 题: Portfolio optimization
发信站: BBS 未名空间站 (Thu Feb 11 21:17:33 2010, 美东)
method：Mean-CVaR
portfolio : 30 stocks in DJI over past 10 years
benchmark : a modified DJI
strategy : long only and long/short
rebalance : monthly
transaction fee : not considered
results:
long only:
Net Performance % to 2010-02-28:
1 mth 3 mths 6 mths 1 yr 3 yrs 5 yrs 3 yrs p.a. 5 yrs p.a.
Portfolio 0.04 -1.84 5.05 24.74 -3.98 23.8 |
k**u
发帖数: 698 | 2 我老想学一下怎么做这个。有哪位大侠能指教一二，不胜感谢
【在 k**u 的大作中提到】
: 【 以下文字转载自 Trading_System 俱乐部 】
: 发信人: liliwater (lyrist), 信区: Trading_System
: 标 题: Portfolio optimization
: 发信站: BBS 未名空间站 (Thu Feb 11 21:17:33 2010, 美东)
: method：Mean-CVaR
: portfolio : 30 stocks in DJI over past 10 years
: benchmark : a modified DJI
: strategy : long only and long/short
: rebalance : monthly
: transaction fee : not considered
|
p****u
发帖数: 2596 | 3 Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J
. Fabozzi Series)
This is a great book on this topic..
However, Accuracy of mean/CV (Paritularly mean) prediction is much more
important than the Optimization framework. This article didn't say clearly
where the mean-prediction come from.. If it is just historical mean, I
really doubt the results.
In many practices, mean-var optimization is difficult to apply. when mean/CV
(Paritularly) prediction is not accurate, mean-
【在 k**u 的大作中提到】
: 我老想学一下怎么做这个。有哪位大侠能指教一二，不胜感谢
|
k**u
发帖数: 698 | 4 多谢
J
CV
【在 p****u 的大作中提到】
: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J
: . Fabozzi Series)
: This is a great book on this topic..
: However, Accuracy of mean/CV (Paritularly mean) prediction is much more
: important than the Optimization framework. This article didn't say clearly
: where the mean-prediction come from.. If it is just historical mean, I
: really doubt the results.
: In many practices, mean-var optimization is difficult to apply. when mean/CV
: (Paritularly) prediction is not accurate, mean-
|
c*y
发帖数: 137 | 5 If you really want to learn Optimization, buy this book,
Optimization Methods in Finance (Mathematics, Finance and Risk) (Hardcover)
~ Gerard Cornuejols (Author), Reha Tutuncu (Author)
By prof's of CMU and Senior VP in GS Quant Investment Strategies team.
http://www.amazon.com/Optimization-Methods-Finance-Mathematics-Risk/dp/0521861705/ref=sr_1_1?ie=UTF8&s=books&qid=1267725387&sr=8-1
From two of the best portfolio optimization gurus. |
A*****s
发帖数: 13748 | 6 i don't think that's a good book
that's a good start though
【在 c*y 的大作中提到】
: If you really want to learn Optimization, buy this book,
: Optimization Methods in Finance (Mathematics, Finance and Risk) (Hardcover)
: ~ Gerard Cornuejols (Author), Reha Tutuncu (Author)
: By prof's of CMU and Senior VP in GS Quant Investment Strategies team.
: http://www.amazon.com/Optimization-Methods-Finance-Mathematics-Risk/dp/0521861705/ref=sr_1_1?ie=UTF8&s=books&qid=1267725387&sr=8-1
: From two of the best portfolio optimization gurus.
|
p****u
发帖数: 2596 | 7 这本书里面的算法可以不看，几个建摸可以看看。。回想当年我金融啥都不知道就是看
了这本书几章，然后出来呼又到第１份工作啊，那时候行情好啊。。个人感觉下面这本
是给做优化的人找应用领域写的，真正金融比较内行的是我上面那本。
【在 c*y 的大作中提到】
: If you really want to learn Optimization, buy this book,
: Optimization Methods in Finance (Mathematics, Finance and Risk) (Hardcover)
: ~ Gerard Cornuejols (Author), Reha Tutuncu (Author)
: By prof's of CMU and Senior VP in GS Quant Investment Strategies team.
: http://www.amazon.com/Optimization-Methods-Finance-Mathematics-Risk/dp/0521861705/ref=sr_1_1?ie=UTF8&s=books&qid=1267725387&sr=8-1
: From two of the best portfolio optimization gurus.
|
l******f
发帖数: 568 | 8 非常赞同版副最后一句话， cmu的那个是入门级的
【在 p****u 的大作中提到】
: 这本书里面的算法可以不看，几个建摸可以看看。。回想当年我金融啥都不知道就是看
: 了这本书几章，然后出来呼又到第１份工作啊，那时候行情好啊。。个人感觉下面这本
: 是给做优化的人找应用领域写的，真正金融比较内行的是我上面那本。
|
i*****r
发帖数: 1302 | 9 Stan Uryasev的CDar和CVaR? 我两年前就做了,就是Linear programming
optimization搞到底就这么些东西,无非是改改objective function和constraint,自己
也可以发明一个什么的
这东西不能以偏概全,你把asset和benchmark全换了再backtest一遍可以就是相反结果 |
s********s
发帖数: 41 | |
N******r
发帖数: 642 | |
b********y
发帖数: 63 | |
p****u
发帖数: 2596 | 13 除了几个大公司,一般没有单独做portfolio Optimization的组把.我觉得这种属于
quant developer 把. 利润的大头会分到做Alpha这块,portfolio construction 分
小头阿........ |
i*****r
发帖数: 1302 | 14 小硕junior analyst应该就能做...如果不用自己写alogrithm |
