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Portfolio Optimization / Mean-Variance

Subset Resampling-Based Minimum Variance Portfolio

Compute the asset weights of the subset resampling-based minimum variance portfolio, optionally subject to:

References

CSSA, Random Subspace Optimization (RSO)
Subset Optimization for Asset Allocation,Benjamin J. Gillen
Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.

post/portfolios/optimization/minimum-variance/subset-resampling-based

assetsinteger required

The number of assets

assetsMeanReturnsnumber[]

assetsMeanReturns[i] is the arithmetic (expected) return of asset i

subsetSizeinteger

The number of assets to include in each subset portfolio; defaults to a value of order the square root of the total number of assets

simulatedPortfoliosinteger

The number of simulated portfolios to compute; only applicable if the generation method for the subset portfolios is random sampling

simulatedPortfoliosGenerationMethod'complete' | 'random'

The method to generate the simulated portfolios

simulatedPortfoliosAggregationMethod'average' | 'median'

The method to aggregate the simulated portfolios

assetsWeightsnumber[] required

assetsWeights[i] is the weight of the asset i in the portfolio, in percentage