Portfolio Optimization with Near Optimal Centering

Hi people, I create this post to share a new portfolio optimization technique that I developed to increase robustness and diversification in investment portfolios. You can check a Python example in this link and the paper in this link. In the following image you can compare the assets weights from mean variance portfolio against a near optimal portfolio when we have errors in the estimation of mean vector and covariance matrix.


I would appreciate your comments and thoughts 🙂

Submitted November 11, 2020 at 10:40AM by Hammercito1518
via https://ift.tt/3lnNlFx

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