[R-sig-finance] Monte Carlo and Portfolio Optimization
silmarelli at yahoo.co.uk
Sun Oct 9 15:49:08 CEST 2005
I am trying to build some realistic efficient
portfolios using some mean/variance techniques
(Markowitz, CAPM etc...).
I normally end up with an unrealistic concentration of
the wealth in a too limited number of assets.
I heard about Monte Carlo techniques to account for
the unaccuracy of the information available.
What would be a good starting point?
I am not experienced, so I need to keep it as simple
Should I simply optimize many ptfs, by sampling the
return of each asset from a distribution which I
assume to be a Gaussian centered on the expected
return of the asset?
Is it possible to introduce some "noise" also in the
Then how should I "average out" the results?
I am not very familiar with these techniques, so if
anyone can suggest some online resources, I would be
More information about the R-sig-finance