How to Max portfolio gap and Min the portfolio gap daily stdev?!

hellohere — Mon, 14 Feb 2022 01:35:10 GMT

Say here are 100 trading days, and here are 20 winning portfolios with daily return 0.25%(100.25)

and two losing portfolio with daily return -0.25%(99.75).

How to find the optimal portfolio (Winner-Loser) with the max return (Winer-Loser) and the min

daily volatility?!

Though this a a theoretical problem, how to simulate the solution?!

Re: How to Max portfolio gap and Min the portfolio gap daily stdev?!

sbxkoenk — Mon, 14 Feb 2022 15:40:54 GMT

Hello,

I have moved your post to this board

--> [ Mathematical Optimization, Discrete-Event Simulation, and OR
Operations Research topics: SAS/OR,
SAS Optimization, and SAS Simulation Studio ]

as it is more about optimization than about Forecasting and Econometrics (the board where you originally posted).

Start here :

SAS/OR User's Guide: Mathematical Programming
The Quadratic Programming Solver
Example 11.2 Portfolio Optimization
https://go.documentation.sas.com/doc/en/orcdc/14.3/ormpug/ormpug_qpsolver_examples02.htm?homeOnFail

Cheers,

Koen