I noticed a trend where questions about portfolio weight estimation and optimization tend to either be suggested for transferring over to quant SE, or even closed as off-topic.
Here are a few examples:
- Efficient Portfolio Optimization Through Simulation (note the comments)
- Markowitz portfolio mean variance optimization in R (note the first comment)
- Alternative Applications of Portfolio Optimization (closed as off-topic)
However, when one reads the literature - the problems discussed in these topics are of clear statistical nature, involving issues of sample size, uncertainty estimates, and model complexity. Example: "Portfolio of Automated Trading Systems: Complexity and Learning Set Size Issues".
So I am just curious - why is it considered to be off topic by many?