You can get it for free in the page of S&P:http://www.standardandpoors.com/indices/sp-500/

<r>Optimized low-vol portfolios perform better than sort-based volatilities (or betas). Simply because they take into account correlations between different assets. In this way, I agree MSCI is one of the best players:<URL url="http://www.msci.com/products/indices/strategy/risk_premia/minimum_volati...

Here is a classic reference that deals with seasonality (daily and weekly) and mean reversion:"Forecasting Next-Day Electricity Prices by Time Series Models''. IEEE Transactions on Power Systems, Vol. 17, No. 2, pp. 342-348, May 2002.

<t>Hansi,It is very easy to apply the reformulation proposed in section 2.3 of the paper to the 'new' capital requirement formula as noted in the appendix. I agree with your point regarding the non additiveness of VaR, but i) this measure is the one used in BII, ii) CVaR leads to higher capital requ...

Hi,Look at pages 8-9 of the following paper:http://web.mit.edu/alo/www/Papers/august07.pdfOnce you have computed the "returns" of your market-neutral strategies, you can get some answers to your questions.

Here is a recent paper explaining to obtain optimal portfolios with minimum capital requirements (based on Basel II regulations) and VaR constraints:http://ssrn.com/abstract=1599266

In the following paper a time series approach is proposed to exploit "multivariate" trends in portfolio selection:http://papers.ssrn.com/abstract=1572526

<t>If you use OLS to estimate the regression coefficient, then methods 1) and 2) are the same by definition!And this is independent of the R-squared.You can use more sophisticated techniques to estimate the regression coefficient (robust regression, total least squares, minimum absolute deviation, e...

<t>Your are right, there are many papers related with this topic.Regarding the estimation of the vector of means, the estimation error is much larger than that of the covariance matrix. So, less to do with the expected returns.Regarding the covariance matrix, the best methods are based on the shrink...

<t>You need to take care about rebalancing: it is true it can increase the Sharpe ratio a lot, but the turnover is increased a lot too. Hence, you must compute the Sharpe ratio after transaction costs are considered.The following relevant papers contain some sections introducing this topic in practi...

<t>In the book:Optimization Methods in Finance, by Cornuejols and Tutuncu,I remember there is a section where the authors describe how to optimize the Sharpe ratio in a portfolio selection context. But this problem is more sensitive to the inputs than the classical optimization of the mean-variance ...

<t>As a summary, there exist three situations where the assumptions for the efficient frontier hold:1. Investors have a quadratic utility over wealth. No distributional assumptions are needed on returns. 2. Investors have an exponential utility and returns are normally distributed. 3. Investors have...

<t>It does not matter so much how you estimate the input parameters in the mean-variance problem, because you are ALWAYS incurring in estimation error (although you are a fortune teller). In finance, this estimation error is usually very large, and moreover the mean-variance problem is very sensitiv...