
Modern Portfolio Theory: A Case Study on Turnips - todsacerdoti
https://www.shawenyao.com/Modern-Portfolio-Theory-a-Case-Study-on-Turnips/
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cjhveal
When I saw this title, it was a 50-50 toss-up for me between Animal Crossing
and some event like that which prompted the Onion Futures Act[0].

[0]:
[https://en.wikipedia.org/wiki/Onion_Futures_Act](https://en.wikipedia.org/wiki/Onion_Futures_Act)

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shpongled
I first heard about Vince Kosuga on an episode of Planet Money. To date, still
my favorite story I've heard on that podcast. I've told so many people about
it

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cjhveal
Now that you mention it, that's definitely where I first learned about it too.
Great podcast. Thanks for the reminder.

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hueyduck
Thanks for sharing my post here. There's actually one more thing I tried but
didn't make it into the post - if we treat the 12 trading windows as distinct
asset classes characterized by their own expected return/volatility plus the
pair-wise correlations, it's possible to construct tangent portfolio/efficient
frontier and get the optimal weights. The negative expected return on a few of
them certainly makes the exercise less meaningful though.

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shocks
> There's actually one more thing I tried but didn't make it into the post -
> if we treat the 12 trading windows as distinct asset classes characterized
> by their own expected return/volatility plus the pair-wise correlations,
> it's possible to construct tangent portfolio/efficient frontier and get the
> optimal weights.

This was recently explored here [1] and here [2]

1:
[https://insignificantbits.com/2020/05/02/turnips/](https://insignificantbits.com/2020/05/02/turnips/)

2:
[https://news.ycombinator.com/item?id=23058276](https://news.ycombinator.com/item?id=23058276)

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hueyduck
Excellent point - I've actually read [1] but not [2]. It's worth noting that
neither of them suffers from the same negative weights problem that I am
seeing, which is probably due to the fact that 1) an explicit bound between 0
and 1 is imposed on the weights 2) (to a much lesser extent) the analysis is
conducted conditional on a specific realized path as of Wednesday.

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slightwinder
Turnips are also a good example of globalization. The betting-Game is only
existing if you game the local market (your island), but if you move on to
export your turnips you can choose the market with the highest price in the
world and become filthy rich with low effort.

In Animal Crossing this has no deeper meaning for local and remote markets.
Though people take it as another source of income through entry-fees for
letting people enter their islands, which is kinda interessting in it's own.
You basically make your own island richer (in items, recipes and resources) by
exposing it to the world.

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bl4ckneon
Very interesting article! Though I have to point out that the turnips are
nothing new to animal crossing. It has been around since the first game (North
American release on the game cube at least).

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codelion
Good article, reminded me of another article about MPT which used it on
cryptocurrencies - [https://medium.com/@asankhaya/build-a-portfolio-of-
cryptocur...](https://medium.com/@asankhaya/build-a-portfolio-of-
cryptocurrencies-using-modern-portfolio-theory-d65217858660)

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markvdb
Obligatory Blackadder quote:
[https://www.youtube.com/watch?v=jD2iYSKHHzo](https://www.youtube.com/watch?v=jD2iYSKHHzo)

P.S. Sorry, I couldn't resist. Not entirely off topic though...

