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portfolio optimization

Markets

Backtesting Series – Episode 4: Portfolio Construction & Portfolio Optimization

Download PDF Introduction In this fourth episode of the Backtesting Series, we will get into Portfolio Construction & Portfolio Optimization processes with a deep focus on MVO. If you haven’t already, we recommend reading the first three episodes before proceeding with this article. Please note that the series will include Read more…

By BSIC, 3 months23 March 2025 ago
Markets

Portfolio Creation and Optimization through Machine Learning

Download PDF Abstract In this study, we propose a two-step methodology for the creation and optimization of investment portfolios utilizing machine learning techniques. Our analysis focuses on S&P 500 stocks from 2008 to 2022, incorporating fundamental data, stock prices, and macroeconomic variables as features in our models. The initial phase Read more…

By BSIC, 12 months7 July 2024 ago
Markets

Modelling Transaction Costs and Market Impact

Download PDF Introduction Transaction costs are a critical component of trading strategies, as they can have a significant impact on returns. Institutional investors need to be able to accurately model transaction costs to make informed decisions in backtesting and optimising their strategies. In this article, we will explore the various Read more…

By BSIC, 2 years16 April 2023 ago
Markets

Exploring the Application of Kelly’s Criterion in Portfolio Optimization

Download PDF Introduction When managing a portfolio, the fundamental problem is to find investments with excess risk-adjusted expected rates of return. Once the manager has identified some favourable opportunities and is ready to assemble the portfolio, they still need to decide how much capital, as a fraction of the value Read more…

By BSIC, 2 years26 March 2023 ago

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