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maxcos - or how to beat the market
From: |
Vic Norton |
Subject: |
maxcos - or how to beat the market |
Date: |
Sat, 7 Jul 2007 15:19:12 -0400 |
I have been working on an asset allocation theory based on optimizing
the Sharpe Ratio of a portfolio of exchange traded funds. The title
page of the website,
<http://vic.norton.name/finance-math/sospdr/> or
<http://home.dacor.net/norton/finance-math/sospdr/>,
reads
Sharpe-Optimal SPDR Portfolios
or
How to beat the market and sleep well at night
The computations for this work are accomplished by two Octave
scripts, maxcos.m and soptf.m. The second script is just an
application of the first.
The maxcos.m script defines a function
[ cosu, J, p, Q, R ] = maxcos( u, A, J, p, Q, R )
that uses updated QR-decompositions to maximize the function
cosu(x) = (u' * x)/norm(x, 2), (with norm(u, 2) = 1)
on the convex hull of the columns of A. The maximizing x is returned
in the form
x = A(:, J) * p,
where the columns of A(:, J) are linearly independent and the
coefficients of p are strictly positive and sum to 1. Moreover
A(:, J) = Q * R
on output.
These scripts are in a "maxcos.zip" file on the website along with
various test routines, README files, and what not. If anyone is
interested in checking this stuff out, I'd very much appreciate your
input.
To be more specific
1. Goto either of the above URLs.
2. Click on the title or the picture of the opening page.
3. Go to the "Computation" paragraph at the bottom of the
resulting "About" page.
4. Click on the "maxcos.zip" link.
Regards,
Vic
*---* mailto:address@hidden
| Sharpe-Optimal SPDR Portfolios
*---* http://vic.norton.name/finance-math/sospdr
- maxcos - or how to beat the market,
Vic Norton <=