The MIIS Eprints Archive

Portfolio Optimization

Tsuil, L. K. and Chadam, J. (2008) Portfolio Optimization. [Study Group Report]



Two strategies are devised to maximize the Sharpe ratio of a portfolio
consisting of 35 risky assets. The first one uses periodically updated optimal weights from standard Markowitz/Sharpe portfolio theory. The second strategy removes a fixed number of assets that have highest positive correlation with the rest of the portfolio. Both approaches perform better (have larger Sharpe ratio) than the existing strategies.

Item Type:Study Group Report
Problem Sectors:Finance
Study Groups:Canadian Industrial Problem Solving Workshops > FM-IPSW 2008 (Toronto, Canada, Aug 11-15, 2008)
Company Name:Mapleridge Capital Corporation
ID Code:571
Deposited By: Mark Curtis
Deposited On:29 Feb 2012 18:30
Last Modified:29 May 2015 20:11

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