Looks sorta interesting. Maybe someone would like to improve it or comment? --Grant
Since you're already using a general optimization algorithm, why not add the no-shorts as a constraint also? Also, try out bootstrapping, that has helped a lot to reduce the jumpiness of optimized portfolio holdings over time, for me.
Thanks Simon,
The solution is already bounded by:
bnds = ((0,1),(0,1),(0,1),(0,1),(0,1),(0,1),(0,1),(0,1),(0,1),(0,1)) Do you think it would help to incorporate a no-shorts constraint, as well (x[i] >= 0)?
Also, what do you mean by bootstrapping?
Grant
I try add XIV to the portfolio, it seems approve the little performance and keep same Volatility and Max Drawdown with original portfolio.
Ah no, you shouldn't. I just noticed you were also doing:
allocation[allocation<0]=0 which would seem to be unnecessary.
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