[Machine Learning for Trading] {ud501} Lesson 19: 02-09 The Fundamental Law of active portfolio management | Lesson 20: 02-10 Portfolio optimization and the efficient frontier

this lesson => Buffet said two things

=> (1) investor skill

=> (2) breadth / the number of investments

Grinold‘s Fundamental Law

breadth => more opportunities to applying that skill => eg. how many stocks you invest in

IC => information coefficient

BR => breadth / how many trading opportunities we have

The Coin Flipping Casino

Which bet is better?

Coin-Flip Casino: Risk

Coin-Flip Casino: Reward/Risk

Coin-Flip Casino: Observations

Coin-Flip Casino: Lessons

（1） higher alpha generates a higher sharpe ratio

(2) more execution opportunities provides a higher sharpe ratio

(3) sharpe ratio grows as the square root of breadth

Back to the real world

IR, IC and breadth

The Fundamental Law

skill is harder to be increased than breadth

Skill => introverted

Breadth => extroverted

Simons vs. Buffet

What is risk?

Visualizing return vs risk

Building a portfolio

Can we do better?

Harry discovered the relationship between stocks in terms of covariance

resulting of the portfolio is not just a blend of the various risks

right stocks picking => outliers

Why covariance matters

Mean Variance Optimization

The efficient frontier

原文地址：https://www.cnblogs.com/ecoflex/p/10977417.html

时间： 2024-07-31 01:04:42

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