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February 27, 2008

last assignment!

The last assignment is nominally due in two weeks, but we can talk next week about how I can collect it since Bill's module is running on a different schedule this term.

Re-sampled allocation example

I put my version of the MATLAB demonstration of the Michaud re-sampled allocation from the lab this evening in the docs folder for your reference.

February 14, 2008

sector allocation project

The lab project yesterday consisted of -

  1. deriving an optimal mean-variance portfolio based on historical relative returns data, and
  2. augmenting the historical data to reflect a prior opinion

The historical data consists of five years of monthly relative returns on eleven sectors versus the Russell 3000 benchmark index.

The prior is to be represented by 12 months of pseudo-observations, with each sector return independent with mean 0% and standard deviation 2% per month.

For next week's lab, please write a script to produce 1,000 versions of the augmented data and the corresponding solutions for the SR (Sharpe Ratio) portfolio with unit expected objective.

February 11, 2008


Did anyone leave a pair of glasses in a red case in the MFM office? It is on the bookshelf.

February 7, 2008


The assignment is due at the beginning of the February 20 meeting.

Portfolio re-balancing solution

I have collected the files you submitted for the parts of the portfolio re-balancing problem from the lab here. I have also written up my solution and posted the MATLAB files I used.

Next week, we can look at how the optimal cost depends on the weight variation constraint.

February 3, 2008

Regular office hours on February 3rd

I will be available for office hours on Sunday, February 3, from 7-9PM in the Vincent Hall MFM office. Please contact me for access to the building.