Wednesday 17 February 2016

Finance - Investment Break Down Event

Cost (ie 5) / Invested (ie 1000) <= ER in frequency period (ER in year / 12)

current portfolio (er, sigma, sharpe)

0. do nothing for a month: er of cur portfolio for cur amount + cash

1. highest er and sharpe components (rounded) added cash - cost (cash)

2. best balance for current content, 2 most unbalanced (in negative) components (with ER .12 it is ok even 500 delta). Choose best combo: cash, 50 and cash, 50 and 50 (10 as cost) for final sharpe.

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