How do you construct a portfolio of trading strategies, instead of securities?

Discussion in 'Risk Management' started by mizhael, May 5, 2010.

  1. This is the most important strategy :

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    Please use on 1000 DJIA drop days...
     
    #11     May 14, 2010
  2. sjfan

    sjfan

    Glad to see there are people on ET who have actually done some work... yes - mv optimization is very sensitive to inputs. This is a result of an implied 100% confidence in those expected return and var/covar numbers. In reality, we are never 100% certain of our forecasts (be it based on historical time series analysis or some other methods). There are some good refinements to mean-variance analysis that introduces forecast risk into those expected returns and var/covars. They tend to produce more 'sane' asset allocations. Black-litterman is one well known formulation - but I personally don't like it because it requires yet another set of inputs that are difficult to calibrate.

     
    #12     May 14, 2010
  3. LVMises

    LVMises

    Have you optimized your system to include the Austrian theory yet?:D
     
    #13     May 17, 2010
  4. sjfan

    sjfan

    Can't - the Austrian School doesn't contain much of testable hypothesis that can be used as constraints or objectives. The Austrian School is a collection of (interesting) qualitative statements that aren't sufficient to form a scientific (that is, falsifiable) theory.

    Flamewar starts in 3...2...1....

     
    #14     May 18, 2010
  5. How it is that other Economics theories are falsifiable?
     
    #15     May 18, 2010