Flirting with Models

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Tag: optimization (Page 2 of 3)

The Human Element Behind the Math

Pure optimization can lead to results that are not optimal upon real-world implementation. We must often account for human preferences in our math.

The Intuition Behind Sharpe Maximization in Unconstrained Mean-Variance Optimization

In this post, we develop a simple intuition for interpreting maximum Sharpe ratio portfolios for both correlated and uncorrelated assets.

Understanding Optimization: What We Wish it Was and What it Never Will Be

Optimization can be very beneficial when expectations of what it can accomplish are reasonable. It will never be able to react to drastic paradigm shifts.

Understanding Optimization: A Taxonomy of Optimization Algorithms

Many optimization algorithms exist, each with its own merits and pitfalls. Understanding optimization helps avoid falling prey to data mining in disguise

Understanding Optimization: Errors in Optimization

The "best" solution to an optimization problem can be highly dependent on the data, the specification of the problem, and the optimization process.
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