In 2018, guys at ReSolve Asset Management published the paper Portfolio Optimization: A General Framework for Portfolio Choice in which they describe
a stepwise framework for investors to choose the most optimal way to form portfolios, as a direct expression of their beliefs and assumptions.
In particular, they introduce the following decision tree:
Since I discovered this decision tree, it has been one of my objectives to make the mentioned portfolio optimization algorithms available to as many people as possible:
- Mean-Variance Optimization
- Minimum Variance Portfolio
- Market Cap Portfolio
- Maximum Diversification Portfolio
- Equal Risk Contribution Portfolio
- Equal Sharpe Ratio Portfolio (that I understood as Equal Sharpe Ratio Contribution Portfolio)
- Inverse Volatility Weighted Portfolio
- Equal Weight Portfolio
- Max Decorrelation Portfolio
- Inverse Variance Weighted Portfolio
Entering 2021, I am proud to announce that this is now done: all the above portfolio optimization algorithms are available as endpoints of Portfolio Optimizer!
The documentation of these APIs is available there.
Happy new year 2021.