Other

Question 1

What is Auto-correlation (function)?

Answer 1

Correlation of current value with previus value

Question 2

Problem’s with MVO

Answer 2

1. concentration
2. unstable weights
3. unimplementable portfolios
4. can’t incorporate own views
5. sometimes returns are nonnormally distributed

Question 3

What is delta T for a 0.5 month period?

Answer 3

Its 1 /24th of a year so 1/42