Probably the most popular models in modern investment management are factor models. Growing out of the Capital Asset Pricing Model … More

# Category: Portfolio Optimization

# How to Optimize a Goal-Based Portfolio

Traditional portfolio optimization (often called modern portfolio theory, or mean-variance optimization) balances expected portfolio return with expected portfolio variance. You … More

# Optimizing a portfolio in R – Monte Carlo method

I regularly use monte carlo engines to answer questions. First, they are really flexible in their ability to model non-normal … More

# How to Calculate the Sortino Ratio in Excel

Used in post-modern portfolio theory (PMPT), the Sortino Ratio punishes only downside risk relative to some required return (usually zero). … More