Re:Modern Portfolio Theory: A Case Study on Turnips
by hueyduck on Tuesday June 02, 2020 @09:02AM
(#23390519)
Excellent point - I've actually read [1] but not [2]. It's worth noting that neither of them suffers from the same negative weights problem that I am seeing, which is probably due to the fact that 1) an explicit bound between 0 and 1 is imposed on the weights 2) (to a much lesser extent) the analysis is conducted conditional on a specific realized path as of Wednesday.
[ Parent
| on HN ]
There are no comments on this comment yet.