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Epi@Epi
1Année
To answer your question, try a mean-variance optimization. This will calculate the allocation with the highest Sharpe ratio.
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Leopold T.@Tuffbet
1Année
@Epi Is there a tool for this?
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Tenbagger2024@Tenbagger2024
1Année
@Tuffbet
Would be interesting
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Epi@Epi
1Année
@Tuffbet Have a chat with ChatGPT. He will tell you what he needs to calculate (expected return, vola per position, correlation) and then do the math.
It works quite well and is very interesting.
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