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