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Minimum Variance: closed-form solution

Here is a simple minimum variance weighting scheme used on 2 asset classes stock and bond. Comments, suggestions and questions are welcome.

1 response

Georges, I would measure this against an equal weight, random weight, and the most popular 60/40 allocation, and see how it fares. I think that the complexity in this case is unjustified, when compared to the other above mentioned allocations/calculations.

Also, I wonder if your returns can be volatility adjusted to SPY (Vol=16), by using a bit of leverage...