Multi-Objective Optimization – 2D Decision Space

by | Mar 27, 2011 | 0 comments

As promised in this previous post, Optimization With Multiple Objectives, here is a quick look at a pareto-optimum solution for 2 objective functions when there are 2 decision variables instead of just 1. As in my previous example I model MAR ratio and Sharpe ratio as...

Multiple Objectives – Pareto Optimum Solutions

by | Mar 26, 2011 | 1 comment

Prompted by an interesting topic raised by “Sluggo” of the “TradingBlox Trader’s Roundtable”, I took a side trip into the topic of optimizing for multiple objectives. In the context of trading system design the issue is driven by the...