For example my portfolio is 60/40, but tilts small/value and half of fixed income is stable value. How do I take that info and calculate its efficiency compared to TSM/TBM in a 60/40 ratio?
The goal is to ensure the highest possible returns for a given level of volatility, or alternatively to maintain a given level of expected returns while ratcheting down volatility.
Optimal Four-moment Portfolios:
Effects of Higher Moments and Estimation Errors
http://www.econ.cam.ac.uk/postgrad/ww25 ... tfolio.pdf
This isn't light reading....
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