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Still not working !
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Still Not Working ! | Rate this: (3/5 from 1 vote) |
 | Hi , I am running the portfolio optimization for my portfolio and I see that every time I run it with additonal week of prices , I get major changes in the exisitng weights of assets. i understand that this influenced by the optimization algorithm but is there a way I can restrict the change in weights so that they do not change by more than say plus/minus 2%? I get theoretical weight changes from 1% to 6% , which is shooting up my trading costs. Best, Hansy | |
| Posted by hansy7 on | ||
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| Posted by Excel Helper on |
| Rate this: (3/5 from 1 vote) Is there any other way to control this. I am getting values like 6000 trades which is enormous. I used the min/max limit too restrict the weight range but that doesn't work either. I was thinking more on the lines of having a condition wherein I could put contraints on the weight changes recommended. That way my portfolio might not be 100% optimum but it will still give me a better Sharpe ratio and trades that are manageable. Please help! Best, Hansy |
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