Hugo Vinícius Ferreira Azevedo

icon indicating a website link https://sites.google.com/view/hugoazevedo

icon company @lccvufal icon location Maceió, AL - Brasil icon location Civil engineer student at Federal University of Alagoas (UFAL). Focus on structural reliability.

Results 3 comments of Hugo Vinícius Ferreira Azevedo

Max Sharpe Optimization with L2 Regularisation does not yield Max Sharpe Portfolio

Hello @Nikolina8 , did you manage to understand what happened? I had a similar problem. When I run Max Sharpe with L2 and use the volatility of this portfolio in...

Max Sharpe Optimization with L2 Regularisation does not yield Max Sharpe Portfolio

Sure! I'll post here some dataset and also my notebook code. And I have another question. You can see in # 3 that the minimum Vol with L2 has a...

Max Sharpe Optimization with L2 Regularisation does not yield Max Sharpe Portfolio

@88d52bdba0366127fffca9dfa93895 hi there! Did you have a chance to check the code I attached?