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Portfolio Inputs Selection from Imprecise Training Data

Raudys S., Raudys A., Biziuleviciene G., Pabarskaite Z.

Schedae Informaticae

2016

Vol. 25

177--188

This paper explores very acute problem of portfolio secondary overfitting. We examined the financial portfolio inputs random selection optimization model and derived the equation to calculate the mean Sharpe ratio in dependence of the number of portfolio inputs, the sample size L used to estimate Sharpe ratios of each particular subset of inputs and the number of times the portfolio inputs were generated randomly. It was demonstrated that with the increase in portfolio complexity, and complexity of optimization procedure we can observe the over-fitting phenomena. Theoretically based conclusions were confirmed by experiments with artificial and real world 60,000-dimensional 12 years financial data.

Optymalizacja kosztów przebudowy portfela jako zadanie transportowe

Piasecki K.

Badania Operacyjne i Decyzje

2004

nr 2

51-60

Wszystkie koszty generowane przez prowizje maklerskie są włączone do zadania optymalizacji portfela. Transformacja portfela jest opisana jako zadanie transportowe. Minimalne koszty transformacji portfela są osiągnięte za pomocą pewnego rodzaju otwartego zadania optymalizacyjnego. Naszkicowano możliwość korygowania stopy zwrotu portfela optymalnego obciążonego kosztami transakcji.

All costs generated by broker's commission are included in portfolio optimization. The value of indicated broker's commission is given as a constants point of some simple iteration process. The switching process is described as a closed transportation problem. It is proved that for a fixed ordered pair of portfolios the total costs of switching the first portfolio to the second one are constant. The strategy of optimizing indicated broker's commission is proposed. The minimal switching costs are attained by means of some kind of open transportation problem. The obtained method of costs management may be applied together with any procedure of portfolio selection. There are sketched the possibilities of correcting return rate of optimal portfolio burdened with switching costs.