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Portfolio optimisation, uncertainty, bootstrapping, and some pretty plots. Ho, ho, ho.

qoppac.blogspot.com · published 12 December 2023

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https://gist.github.com/robcarver17/8227c5c88ad17acd6a84b9762ea79d67

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https://gist.github.com/robcarver17/ed58f9dcaca1d6cf697d0e6579f2e997

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https://github.com/robcarver17/pysystemtrade

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https://www.robeco.com/en-uk/insights/2023/09/5-year-expected-returns-triple-power-play?z=%5B%2asearchterm%2a%5D&cmp=se_3_12968&gad_source=1&gclid=CjwKCAiAmsurBhBvEiwA6e-WPPzSlOvQ2pqheTab0vIfiuwcZ4RpJ53wZ_pw3Vh-9wt-i_BbPE0uQxoC4OoQAvD_BwE

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https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgL7B0mA6t7xCx1rX3OTW1CuhPRtpvD1Ufnjq5kR-FFYbj9b0GB5mfk_C-BT9IvDrdPvT54sAfEgrXQ0dd7chib8Dq5XS_l9m8Edrkn6Y4SDsT6Z7e7OnVLnXnB9QbQEpyJcxtSuP8PxBmqS-ZZPVEr5bP7RyrhfKGQywk9NIQkA2SM6Ng6RiQIV1Pn_SqU/s640/fig1.png

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If you're so smart, how come you're not SBF? The Kelly criterion and choice of expectations and utility function when bet sizing Read at the source ↗

qoppac.blogspot.com

https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiTsRKE8f95lDzTUdqny7jGaq-ej9JHxGRMp70McSWy15x3wiu3SduuMkgC6y_t3_vUOgn_fiiRxqomp7vRSMDNXVPCL6xYlSwxYLXrNCAaG3mO71er6PWQHp-4U9qZb1g6ECNGIZAcJ0VGyLCYrWIreuZS-PNWsU-1nFX8D_T42CAT_2z-BNAY29lV9Wkg/s640/fig1.png

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https://riskyfinance.com/2019/07/01/the-sharpe-ratio-ratio/

riskyfinance.com

https://quant.stackexchange.com/questions/43999/maximum-sharpe-portfolio-no-short-selling-restrictions

quant.stackexchange.com

https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjeBQCJbyZD4WBSjnAEBuHSo9OyiXlj8bs4_JTAKHcRCCKMSHsoWp629lYIORuceb2u7EV84vcKsqyv0E5zh3aS-N1CO6dvT7Xboz0LoVmBe_3RVQ5RNqNZk_LDz8tYMUEO3QPDqxjBLBTsXXy7rJizLilBNpebuzwUrKry7Q47dj1vshLYLOBL06r2oNb3/s1920/fig1.png

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