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[Machine Learning for Trading] {ud501} Lesson 19: 02-09 The Fundamental Law of active portfolio management | Lesson 20: 02-10 Portfolio optimization and the efficient frontier

时间:2019-06-05 09:39:21      阅读:148      评论:0      收藏:0      [点我收藏+]

标签:execution   des   mon   trove   src   ali   read   and   front   

this lesson => Buffet said two things

=> (1) investor skill

=> (2) breadth / the number of investments

 

 

Grinold‘s Fundamental Law

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breadth => more opportunities to applying that skill => eg. how many stocks you invest in

 IC => information coefficient 

BR => breadth / how many trading opportunities we have

 

 

 

 

 The Coin Flipping Casino

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Which bet is better? 

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Coin-Flip Casino: Risk

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Coin-Flip Casino: Reward/Risk 

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 Coin-Flip Casino: Observations

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 Coin-Flip Casino: Lessons

 

(1) higher alpha generates a higher sharpe ratio 

 (2) more execution opportunities provides a higher sharpe ratio 

 (3) sharpe ratio grows as the square root of breadth 

 

 

 

 

 

Back to the real world 

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 IR, IC and breadth

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 The Fundamental Law

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skill is harder to be increased than breadth

 

 

Skill => introverted

Breadth => extroverted 

 

 

Simons vs. Buffet 

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 What is risk?

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 Visualizing return vs risk

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Building a portfolio 

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Can we do better? 

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Harry discovered the relationship between stocks in terms of covariance 

resulting of the portfolio is not just a blend of the various risks

 right stocks picking => outliers

 

 

 Why covariance matters

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Mean Variance Optimization 

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The efficient frontier 

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[Machine Learning for Trading] {ud501} Lesson 19: 02-09 The Fundamental Law of active portfolio management | Lesson 20: 02-10 Portfolio optimization and the efficient frontier

标签:execution   des   mon   trove   src   ali   read   and   front   

原文地址:https://www.cnblogs.com/ecoflex/p/10977417.html

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