Articles by OSM

Satisficing and optimizing

August 26, 2020 | OSM

In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is choosing the best ...
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I like to MVO it!

July 31, 2020 | OSM

In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a ...
[...Read more...]

I like to MVO it!

July 31, 2020 | OSM

In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a ...
[...Read more...]

I like to MVO it!

July 31, 2020 | OSM

In our last post, we ran through a bunch of weighting scenarios using our returns simulation. This resulted in three million portfolios comprised in part, or total, of four assets: stocks, bonds, gold, and real estate. These simulations relaxed the allocation constraints to allow us to exclude assets, yielding a ...
[...Read more...]

Weighting on a friend

July 24, 2020 | OSM

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than ...
[...Read more...]

Weighting on a friend

July 24, 2020 | OSM

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than ...
[...Read more...]

Weighting on a friend

July 24, 2020 | OSM

Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. We’ve then chosen portfolios whose average weights yield the type of risk and return we’d like to achieve. However, we’ve noted there is more to portfolio construction than ...
[...Read more...]

Python-bloggers

July 10, 2020 | OSM

Python-bloggers aggregates blogs focused on using Python’s data analysis super-power for data science, machine learning, and statistics. Brought to you by the same folks that publish the hugely popular R-bloggers, it is well worth a read. Check it o... [...Read more...]

Testing expectations

July 10, 2020 | OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
[...Read more...]

Testing expectations

July 10, 2020 | OSM

In our last post, we analyzed the performance of our portfolio, built using the historical average method to set return expectations. We calculated return and risk contributions and examined changes in allocation weights due to asset performance. We...
[...Read more...]
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