relation: http://miis.maths.ox.ac.uk/miis/571/
title: Portfolio Optimization
creator: Tsuil, L. K.
creator: Chadam, J.
subject: Finance
description: 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.
date: 2008
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/571/1/4.pdf
identifier:   Tsuil, L. K. and Chadam, J.  (2008) Portfolio Optimization.  [Study Group Report]