Portfolio optimization of a basket of high frequency and low frequency strategies

Quote from Mike805:

It's a starting point... and, the derivation is useless in a practical sense. The main assumption is that the assets are not correlated, and by combining assets and optimizing single asset allocation, one can increase risk adjusted returns.

That's a loaded assumption when it comes to combining strategies because when shit hits the fan; *everything* moves in one direction.
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Portfolio allocation does not assume that assets are not correlated. Correlations and returns are used to structure optimal allocation. You can apply portfolio allocation to a universe of bonds. The price of all bonds is correlated with interest rate rise/fall but the allocation aims at some specific duration and/or convexity, yield, etc.

You can have long and short portfolios and respective allocations and these portfolios will not move in one direction when and if the sh*t hits the fan.

OK?
 
Quote from intradaybill:

It is clear you are involved with some hedge fund because
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I doubt he's a quant at a name-brand shop. I would bet he's, at best, working at an off-the-run firm, at worst, a wannabe or trainspotter
 
Quote from Rodney King:

I doubt he's a quant at a name-brand shop. I would bet he's, at best, working at an off-the-run firm, at worst, a wannabe or trainspotter
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lol

Trainspotter? :) Cool word!
 
Quote from intradaybill:

Portfolio allocation does not assume that assets are not correlated. Correlations and returns are used to structure optimal allocation. You can apply portfolio allocation to a universe of bonds. The price of all bonds is correlated with interest rate rise/fall but the allocation aims at some specific duration and/or convexity, yield, etc.

You can have long and short portfolios and respective allocations and these portfolios will not move in one direction when and if the sh*t hits the fan.

OK?
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Bill,

Arguing with you leads nowhere, why even start? Why don't you just ignore me like you said you would in the past?

Again, you did not understand what I wrote and you took it out of context.

Mike
 
Quote from Mike805:

Bill,

Arguing with you leads nowhere, why even start? Why don't you just ignore me like you said you would in the past?

Again, you did not understand what I wrote and you took it out of context.

Mike
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You wrote:

Quote from Mike805:

The main assumption is that the assets are not correlated...
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which is false. Admit once that you have been wrong...
 
Quote from intradaybill:

You wrote:




which is false. Admit once that you have been wrong...
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Bill,

From the wikipedia page:
... the aim of selecting a collection of investment assets that has collectively lower risk than any individual asset. That this is possible can be seen intuitively because different types of assets often change in value in opposite ways. For example, as prices in the stock market tend to move independently from prices in the bond market, a collection of both types of assets can therefore have lower overall risk than either individually.
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Now drop the issue Bill. The concept here is trivial and has little to do with what I was getting at in my post, the point of which you missed entirely.
 
Quote from Mike805:

Bill,

From the wikipedia page:


Now drop the issue Bill. The concept here is trivial and has little to do with what I was getting at in my post, the point of which you missed entirely.
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Not a nice command. issue will be dropped when you finally admit you were wrong. Your selective copy and paste will get you nowhere with me. Two lines below your selection bias, the Wikipedia entry states:

"By combining different assets whose returns are not perfectly positively correlated, MPT seeks to reduce the total variance of the portfolio return. "

You said the theory assumes assets are not correlated. This makes a hell of a difference.

Admit you were wrong and I drop the issue.
 
Quote from intradaybill:

Not a nice command. issue will be dropped when you finally admit you were wrong. Your selective copy and paste will get you nowhere with me. Two lines below your selection bias, the Wikipedia entry states:

"By combining different assets whose returns are not perfectly positively correlated, MPT seeks to reduce the total variance of the portfolio return. "

You said the theory assumes assets are not correlated. This makes a hell of a difference.

Admit you were wrong and I drop the issue.
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Seriously?!? This is your issue:

not correlated != not perfectly positively correlated

??? :D

FYI, (!=) is "not equal" for some computer languages

Haha, what a joke!!!

Bill, you realize that you're trolling here, right? Rather than pick up on the point of the post, you pick-up on a detail about how I didn't add the words "perfectly positively" to my statement??

Sorry Bill, I have little respect for nit-picking trolls. No more replies to your intellectually devoid notes (and yes, I can keep my word here).

On second thought, how about I post links to all the threads where you call people "idiots" and diagnose posters as "mentally ill"? One doesn't have to look far back at your post history to see the bad and the ugly. You can still turn things around Bill, its not too late.
 
Quote from Mike805:

Haha, what a joke!!!
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This is what you said, once more:

Quote from Mike805:

It's a starting point... and, the derivation is useless in a practical sense. The main assumption is that the assets are not correlated, and by combining assets and optimizing single asset allocation, one can increase risk adjusted returns.
More...

I remind you again that your statement that the "main assumption is that the assets are not correlated" is false and you have been wrong once more here misdirecting people.

Stop behaving like a little kid and be a man. Admit you were wrong for once and stop playing with computer symbols.
 
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