does anybody study alpha strategy? or portfolio optimization?

[cf0532]

1. at first I think alpha strategy is the same as portfolio optimization or at least very similar, yes?
2. I want to get some material to learn alpha strategy, shall I?

 

[Handle123]

I know there an old book on it as it been around long time., never read it, so...it most likely used copies on Amazon.

I actually don't know much about portfolio optimization other than the fact of not keeping all your eggs in one basket, so like keeping real estate in with the mix of stocks and commodities. Real Estate alone is very risky, if you end up with several houses vacant, you have to cough out thousands each month before they get rented, but I have found specializing to work well in real estate, either buying for lower middle class or higher lower class works for me as they stay much longer than say high middle class as they wait for credit scores goes up. You learn to wait for massacres of commodities or economies for very long term investments, like when people, who are generally are wrong, say something going into the toilet, you know you near the bottom in something and to dollar cost average into it, but some each month like gold and silver hard assets, buy it and hide it at home.

But as far as stocks, tough one as many buy for some type of value either internals or technicals.

 

[xandman]

Two different things. But, it is essentially what people do to make a buck (and keep it).

Alpha is getting the premium from the market. PO is mostly variance reduction strategies.

 

[cf0532]

Two different things. But, it is essentially what people do to make a buck (and keep it).

Alpha is getting the premium from the market. PO is mostly variance reduction strategies.

thanks for your information.
could you recommend some book for alpha?

 

[newdog]

Alpha is the secret sauce. No book will have it.

Portfolio optimization is a mathematical implementation. The simplest case is of Mean-Variance reduction where you start with bunch of different stocks and assets and create a composition so that the return of portfolio is maximized and variance of portfolio is minimized. This you will find on every corner of internet. You need to know some kind of programming language like Matlab, Python, etc to implement optimization. Maybe you can pull off a simple case in the excel also.

Portfolio optimization happens after you have bunch of alpha strategies running and your portfolio is getting crowded.

 

[xandman]

thanks for your information.
could you recommend some book for alpha?

Not really. It is a very general concept to me. I may not understand it fully myself.

 

[kandlekid]

I did a MOOC course on PO awhile ago. Can't remember who gave it. But topics included the Efficient Frontier, etc. And as for PO, it's not really "not keeping all your eggs in one basket" as much as keeping your eggs in uncorrelated baskets (i.e. diversify).

 

[Sig]

I did a MOOC course on PO awhile ago. Can't remember who gave it. But topics included the Efficient Frontier, etc. And as for PO, it's not really "not keeping all your eggs in one basket" as much as keeping your eggs in uncorrelated baskets (i.e. diversify).

Highly recommend doing what kandlekid recommends. It's not a subject that yields itself to a couple paragraphs on a message board and requires at least a basic prob/stats background.

Finance is no different than any other profession, you don't ask an electrical engineer to explain "how to build an integrated circuit" or a doctor to explain "how to do open heart surgery" and expect to get a 5 minute explanation that would allow you to even come close to doing either on your own. You can't really expect an entire finance class with it's associated prereqs to be condensed to a couple paragraphs either.