A simple portfolio optimization problem is used to look at several R functions that use randomness in various ways to do optimization. Orientation Some optimization problems are really hard. In these cases sometimes the best approach is to use randomness to get an approximate answer. Once you decide to go down this route, you need to decide on two things: how to formulate the problem you want to solve what algorithm to use These decisions should seldom be taken independently. The best...

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

US large cap market returns. (For reasons unknown, the data for 2012-07-09 did not appear so what is shown as returns for 2012-07-10 is actually returns for both those days.) Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

An explanation of alpha factor alignment in portfolio optimization, and a look at the spectrum of views on it. Venue FactSet recently hosted an event that included a panel of representatives from several risk model vendors.  The first question thrown at the panel was about alpha alignment.  The opinions varied widely.  There was positive correlation between opinions and  products. Issue This is problem 7 in “The top 7 portfolio optimization problems”.  It has to do with factor...

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

The email system still wasn’t quite right last time.  It should be better now.  If so, then the email gang will see this post and will be given the opportunity to read some things they missed.