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?!
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 ProgrammingThe Quadratic Programming SolverExample 11.2 Portfolio Optimizationhttps://go.documentation.sas.com/doc/en/orcdc/14.3/ormpug/ormpug_qpsolver_examples02.htm?homeOnFail
Cheers,
Koen
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