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filipemourao
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Joined: February 5th, 2022, 5:16 pm

Combining fundamental and quantitative analysis on portfolio optimization

February 16th, 2022, 10:38 am

Good Morning everyone,
I have the following problem which I would like to optimize using quantitative methods:
I have a portfolio with some selected stocks, each one has a desirable percentage of the whole portfolio, every month I add more money to this portfolio by rebalancing it so that the real percentages of each stock get as close as possible to the desired percentages. How can I choose with stocks should I buy and which stocks should I sell so that the overall performance of the portfolio is maximized? 
I would like to have a strategy that I can see which stocks are more distant from the desired percentage buy also account for the irrationality of the market for pricing each stock 
Is there any references about this topic ?
Thanks in advance,
Filipe
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Combining fundamental and quantitative analysis on portfolio optimization

February 18th, 2022, 11:04 pm

Is there any references about this topic ?
First, read books by the late, great Jack Bogle