Hi all, Let's say we have N assets, for each asset we have M strategies, how do we form an "optimal" portfolio? I am thinking of the following: 1. Treating each of the N*M assets as a seperate and individual strategy, and run optimization for each of them, (need to be careful not to do over-fitting, but I don't know what's the best way to do optimization without overfitting; let's discuss about this also). 2. For each of the optimized strategies (there are N*M in total), (optimized in the sense of highest possible Sharpe ratio for each one), obtain the returns time series. 3. Run the correlation on the returns time series and obtain the covariance matrix of size N*M x N*M. And do a mean-variance analysis with a target expected return and an arbitrary number of risk aversion parameter. Solve for the optimal weights. The data are daily data; but somehow I do monthly rebalancing. So the optimal weights are sought for each month. The above procedure is again optimized in a robust way (but not sure how to do it robustly without getting into overfitting), to get the highest possible robust Sharpe ratio. -------------------\ Any thoughts on the above procedure? Thanks a lot!