Hello!
I like to build a portfolio with 4 asset class by Mean-Variance optimization method.
The portfolio is a Long/Short type.
Sampling period is daily (daily returns).
My question is:
1. How much historical data should i take for the optimization?
2. How long should i hold this portfolio in the future? 5 day?, 10 day?
3. How do i know what is the ideal holding period for the portfolio?
5%, 10%, 20%, 30% of the historical data?
4. Is there any method to calculate the ideal holding period of the portfolio?
Thank you!