Borrow on margin/lever up portfolio
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EG29 марта 24 г. | Опубликовано в Помощь
How would I add leverage to a portfolio for analysis? This could mean borrowing on margin or even the theoretical risk-free rate borrow. I like SPX box spreads in real life, but how is this supported in the tool?
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EG29 марта 24 г.
On a related note do portfolio optimization tools actually generate negative weights (short) if lowering the minimum weight input parameter?
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Dmitry Shevchenko
-2 г.
The optimization tool currently supports only long positions, or at least that's what the tool settings reveal. The underlying optimization libraries should support short and leveraged positions, although I'm not certain they work well with all the optimization objectives and methods we have now. We should probably verify this and consider making those options available to users.
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