Portfolio optimization of a basket of high frequency and low frequency strategies

Discussion in 'Strategy Building' started by mizhael, Jun 28, 2011.

  1. I'd like to admit he was wrong on his behalf. Modern portfolio theory makes no assumption that the securities are not correlated.

    How about discretizing returns for all strategies to the lowest frequency (monthly?) and running your MVO on that?
     
    #21     Jul 8, 2011