Thanks @Ksharp for clearing up the Variance v. STD, and K v Sharpe ratio topics.   I have tried both ways, and you are correct - Variance approach is the friendlier one. Regarding QP : I have set up the QP code, but still figuring out ways to get all the outputs together in one go. I also have to validate that QP is getting proper data based on how I have defined the assets in IML. WIP!   Thanks again. ... View more

Hi @Ksharp , couple of quick clarifications: 1. On Portfolio Variance: Should it be  p[2]=x*cov*x` or p[2]=sqrt(x*cov*x`) usually, Sqrt would be the standard deviation, however I was looking back at the 2017 paper, and there the variance has been defined with Sqrt. 2. Calculation of K Slope (Sharpe Ratio); k=(p[1]-f)/p[2];  where p[2]=x*cov*x`; Sharpe ratio is defined in terms of Standard deviation. So, if this is the definition of p[2], then should the Sharpe ratio be?   k=(p[1]-f)/p[2]; /*where p[2]=sqrt(x*cov*x`)*/ Thanks in advance.   ... View more

Thank you @Ksharp . I ran this with a few modifications - the part to create assets returns data (I am using market data) - used NLPNRA for both deriving and validating the tangency portfolio (was having trouble with convergence with NLPTR and NLPRR) - adjusted the range of r in the simulation to get the display area in the graph. It works! Again, thanks a ton! ... View more

Thank you so much for such a quick and detailed response @Ksharp (amazing after 7 years :)). I will definitely check and try this out. Thanks again. ... View more

@Ksharp  This is extremely helpful, thank you. I ran some simulations with 3 asset classes based on the code from the 2017 sas paper, and it's very convenient!   I have a question - I noticed that in the final graph (Tangency with EF), the "Star" i.e., the tangent portfolio, doesn't lie on the EF (blue line), as the number of assets increases. I tried it for 15 to 20 asset classes, the "Start" gets pushed more and more on the top half of the graph, away from EF. I even checked the Frontier and Tangency datasets, and the tangent (return, std) values, do not feature in the frontier data in these instances. Any idea what's the reason for this?   PS: I didn't change anything from your code. just increased N from 3 to 15, and so on. Even the number of simulated rows (10,000) and rest of the distribution parameters are the same. ... View more