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- Amol replied Jun 15, 2012
Refer fig in following link(somehow insert image is not working) url image image Here is an example of pareto front where one intends to minimize f1 and f2. The point A,B line in same frontier because f1(a)>f1(b) and f2(a)<f2(b). So their is no ...
- Amol replied Jun 14, 2012
consider using concepts of multi objective optimisation (pareto optimality) min variance, max mean.
- Amol replied Jun 13, 2012
I think it's a standard result that if you add a large number of strategies to you portfolio whose returns are uncorrelated then your equity PNL will smoothen out.
- Amol replied Jun 13, 2012
I know that it's quite an old thread. Refer to his thread url Earlier the thread starts off with some really new trading strategy. Later the discussion drifts towards arbitrage. There is a member called fxsoftware who seems to have been doing it. ...
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