eprintid: 571
rev_number: 9
eprint_status: archive
userid: 10
dir: disk0/00/00/05/71
datestamp: 2012-02-29 18:30:24
lastmod: 2015-05-29 20:11:38
status_changed: 2012-02-29 18:30:24
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Tsuil, L. K.
creators_name: Chadam, J.
corp_creators: Randall Selkirk
title: Portfolio Optimization
ispublished: pub
subjects: finance
studygroups: fmipsw2
companyname: Mapleridge Capital Corporation
full_text_status: public
abstract: 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.
date: 2008
citation:   Tsuil, L. K. and Chadam, J.  (2008) Portfolio Optimization.  [Study Group Report]     
document_url: http://miis.maths.ox.ac.uk/miis/571/1/4.pdf