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Tag: Finance

Stock Market Data Scenario Set Generation – S&P 100

I just love to create portfolio optimization models based on Optimization theory and such models require a well-defined return scenario set which is nothing more than a matrix where we have a joint possible set of returns of all our assets under consideration. The easiest way is to use historical data for this purpose. While it is dangerous to use historical data in many price-based single asset strategies, it definitely makes sense for portfolio-based analysis because we capture the empirical dependency of the assets which works surprisingly well. We focus… Read more Stock Market Data Scenario Set Generation – S&P 100