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Details van artikel 9 van 16 gevonden artikelen
| Titel: |
Fast recursive portfolio optimization |
| Auteur: |
Irlicht, Laurence |
| Verschenen in: |
Algorithmic finance |
| Paginering: | Jaargang 3 (2014) nr. 3-4 pagina's 173-188 |
| Jaar: |
2014-12-05 |
| Inhoud: |
Institutional equity portfolios are typically constructed via taking expected stock returns and then applying the computationally expensive processes of covariance matrix estimation and mean-variance optimization. Unfortunately, these computational costs make it prohibitive to comprehensively backtest and tune higher frequency strategies over long histories. In this paper, we introduce a recursive algorithm which significantly lowers the computational cost of calculating the covariance matrix and its inverse as well as an iterative heuristic which provides a very fast approximation to mean-variance optimization. Together, these techniques cut backtesting time to a fraction of that of standard techniques. Where possible, the additional step of caching pre-calculated covariance matrices, can result in overall backtesting speeds up to orders of magnitude faster than the standard methods. We demonstrate the efficacy of our approach by selecting a prediction strategy in a fraction of the time taken by standard methods. |
| Uitgever: |
IOS Press |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 9 van 16 gevonden artikelen
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