This is a summary of links featured on Quantocracy on Friday, 09/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Sequential satisficing [OSM]In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We found that you can shoot for high returns or high risk-adjusted returns, but rarely both. Assuming no major change in the underlying average returns