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