#efficient frontier

Alameda Research invests $2M into crypto market maker Efficient Frontier

Alameda Research has invested $2 million in a Tel-Aviv-based market maker claiming to process nearly $10 billion in volume monthly across 50 crypto exchanges.

Multi-objective linear optimization with PuLP in Python

In some of my posts I used lpSolve or FuzzyLP in R for solving linear optimization problems. I have also used PuLP and SciPy.optimize in Python for solving such problems. In all those cases the problem had only one objective function.

In this post I want to provide a coding example in Python, using the PuLP module for solving a multi-objective linear optimization problem.

A…

The Efficient Frontier – Simply Explained

  We want our money to be able to do the best job in making more money for us right? But we also are only willing to take a certain amount of risk. The risk may be specific due to our age, investment style and perhaps time until retirement and even during retirement.

  If you can achieve the same return you desired but with less risk, than why not? This is where the efficient frontier comes into…

Robo Advisers make a big deal about how they don’t have a one-size-fits-all offering but instead, offer YOU the portfolio that’s right for YOU based on YOUR circumstances. They need to be able to say they do this, since without such a capability, there’s no way any rational person would choose them over a human adviser who decides what’s right for you by, well, you know . . . . talking to you, etc.

We’ve always known it’s important to allocate assets among stocks, bonds, etc. in a reasonable manner. But when it comes to implementation, the more we think we understand, the more we realize we don’t understand. So more often than anyone likes to admit, we’re pulling allocations out of folklore, stereotype, gut instinct, etc. So if you decide to go robo, you need to understand how such prototypically human judgments are made.

Humans or Robots?

For branding purposes and market positioning, it’s important to robo advisers that you see them as completely automated operations that do things right by investing “passively.” In other words, they don’t try to beat the market. They try to buy the whole market.

Nice try. But it doesn’t work.