[R-SIG-Finance] (no subject)

giuseppe1.milicia at hsbcib.com giuseppe1.milicia at hsbcib.com
Wed Jul 23 11:11:06 CEST 2008


In the next few days I'm going to do something very similar :)

I was wondering if you could share some more information? What R
packages/functions did you use? Just quadprog, or did you find something
better suited?

// Giuseppe

Message: 1
Date: Mon, 21 Jul 2008 12:05:29 -0500
From: "Alexander Moreno" <alexander.f.moreno at gmail.com>
Subject: [R-SIG-Finance] portfolio optimization-autocorrelation in
             asset             returns
To: r-sig-finance at stat.math.ethz.ch
             <3303a4570807211005v10ea6a23v11d6d4e9f8a9c516 at mail.gmail.com>
Content-Type: text/plain


I'm running a Markowitz Optimization using an EWMA correlation forecast and
weekly data to find the minimum variance portfolios, updated every week,
a basket of currencies.  I'm finding that the performance is somewhat
wanting, but when I remove currencies with significant positive
autocorrelation over the sample, the performance over the same sample
improves substantially (I know, my description is somewhat vague and this
also cheating).  However, I believe this is due to autocorrelation
assumptions in the Markowitz Optimization framework, and I'm wondering if
anyone could point me towards the best ways to get around this problem that
don't involve looking at the autocorrelation over a sample and then
the currency from the optimization for the same sample.


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