Tagged Questions

The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, ...

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I'm looking for an academic reference on how compute the standard portfolio turnover used in finance. I found a definition by Barroso and Santa-Clara, however their definition is based on both the ...
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Mean Variance spanning test

Is there any r code for performing Mean Variance spanning test. This test is used to check if the return from K+N assets are significantly different from K benchmark assets return. Huberman and Kandel ...
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Subclass Tracking Error

I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question: How to find out the correlation structure of the passive (=second ...
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Reshuffling the weighting of assets in an investment portfolio

An investor has a £40,000 portfolio, 40% of which is invested in bonds.The investor wishes to add funds to the portfolio by purchasing bonds so that 52% of the entire portfolio is invested in bonds. ...
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Portfolio with lots of subportfolios

An account manager has $N$ distinct, equally-sized pots of money, which will be used to make $N$ distinct subportfolios, each of which is drawn from a slightly different (but potentially overlapping) ...
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Asset allocation and GARCH models

I am trying to solve an asset allocation problem and I am having some troubles grasping the concept. I am working with excess returns on 4 stock indices and I am obtaining the excess returns forecasts ...
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I saw this question as an interview, and to be honest, I have no idea what it's even asking for: Write a function (in R or Python) that finds the stock drawdown which will trigger a rebalance, ...
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Portfolio of sum of two Bachelier processes

Suppose you construct a portfolio of two stocks, whose values $A$ and $B$ are modelled as a Bachelier process: $$dA = \sigma_A dW_A(t) \text{ and } dB = \sigma_B d W_B(t).$$ Each of the stock prices ...
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Sharpe Ratio : why the normalization factor?

I try to understand why a $\sqrt{252}$ normalization factor is useful for Sharpe Ratio: Let's compute the Sharpe Ratio for this imaginary portfolio, for various sampling periods: ...
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Is Low-Volatility expensive these days? How can we analyze this?

Low volatility investing became somewhat fashionable in recent years. In general there are two approaches to this Ranking stocks of a certain universe by either stand-alone volatility or by beta and ...
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Portfolio construction for signals of varying time scales?

Wondering if anyone is aware of any research on combining/portfolio construction of signals on different time scales. For example, if I have a trading signal (alpha) that generates trades every hour ...
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Portfolio value containing stocks and a bond

Consider: 1000 dollars invested in stock portfolio and a zero coupon bond. Investment period: 30 years Yearly retur for the stock portfolio: Rk = eµ+σZk , k is after year k Zk are normally ...
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What can I use to measure of diversification?

I have to come up with a measure of diversification for trade (this can tie in closely to diversification as regards portfolios). Are there any well known measures of portfolio diversification?
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High Beta 'Filter' for Minimum Variance Portfolios (MVP's) - Lower Risk/Improve Return?

I am busy conducting research in South Africa on the JSE. I am investigating several risk based portfolios with an emphasis on MVP/min vol. My process is as follows: Although the JSE has around 400 ...
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Determining the investment strategy

I have the following problem: Consider the 5 year investment strategy and given the yearly portfolio returns $S_{t+1}/S_t$ and dividends $D_{t+1}$ paid at $t+1$ which are modeled as: ...
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Hwo to create a benchmark for a portfolio?

How does one create a benchmark for a portfolio? I realize if I were using strategic asset allocation, I could just look at the already existing benchmarks associated with the various asset classes ...
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OHLC Covarianc Estimation

Is there an R package which can estimate a covariance matrix using OHLC (Open/High/Low/Close) share prices for upwards of 40 shares using the Yang & Zhang method using daily data? I google ...
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How to calculate a hypothetical minimum-variance point?

If we have $N$ assets which are uncorrelated, but have the same mean return of $\mu$ but the variances are different where $\sigma_i^2$ is the variance of each asset $i = 1, 2,...,N$ how can you write ...
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How to optimize a portfolio using skewness?

I am trying to do portfolio optimization for 5 stocks taking into account skewness of the portfolio but I am unable to incorporate skewness to the mean variance model. Can anyone please help on how ...
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Abritrage when Put Option Greater then Strike Price?

I am having a tough time conceptualizing this question here: Let $P$= Price of European Option, $S$ = Present Price of Option and $K$ = Strike Price. If $P > K$, why does abritrage exist? Assuming ...
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Can anyone suggest book about fixed-income portfolio management? [closed]

Can anyone suggest books about fixed-income portfolio management? Thx
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Mean Variance Portfolio theory and real-world problem?

There are many assumptions on mean-variance portfolio theory and they seem to be very unrealistic, for example 1) investors have the same information at the same time: calculating expected returns ...
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Given (past) stock values for N assets, how to find the maximum - theoretical - profit?

In the past few days I have been thinking about a question which seems trivial, yet I can't think of any efficient way to find the optimal solution... Here is the problem: imagine you have a ...
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Some pundits claim that there is a revolution in portfolio management under way: The rise of the robots, a.k.a. robo-advisors. The most well known are Betterment.com, FutureAdvisor, Schwab Intelligent ...
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Computing $\gamma$ and $\mu$ at the efficient frontier

Consider the condition which the weights of any portfolio belonging to the efficient frontier satisfy: $$\gamma\boldsymbol{wC} = \boldsymbol{m} - \mu\boldsymbol{u}$$ ...
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Tests for Mean Reversion in a Portfolio Rebalancing

On a single time series one can run a Dickey-Fuller test to determine if the asset is mean reverting or at least has been mean reverting during your sample. Is there a way to test for mean-reversion ...
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Portfolio insurance strategy with path dependence

I have the following problem. Let us assume that $S_t$, the stock price follows, geometric Brownian moation with parameters $(\mu,\sigma^2)$. We are given an amount of money $M$ and at each point in ...
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Performance analysis for a changing portfolio

I am trying to do a performance analysis of an investment in five different funds (A to E). I am investing a fixed amount at each fund (say 10m in A, 20m in B, 10m in C, 20m in D, 10m in E) but the ...
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volatility factor

I am trying to add a volatility factor to Fama-French factor model. Does anybody know of a source where I can get data for "volatility mimicking factor" or suggest a simple methodology for ...
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conferences for credit portfolio managers

What are worth conferences for credit portfolio managers? I appreciate your recommendations! PS:I am aware that this question is not the typical quant.SE question, BUT I couldn`t find reliable ...
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Are there references about liquidation, transaction, market impact costs in portfolio optimization

I am looking for some references treating of what I would call liquidation cost market impact cost transaction cost(*) in the usual "portfolio optimization problem under linear constraints". Let ...
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In portfolio allocation literature there is lot of effort made in obtaining 'better' portfolio weights, for example via improving parameter estimates, introducing Bayesian approaches, incorporating ...
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Disaggregating stock performance and dividend yield

I modeled the performance of several portfolios with adjusted close data and would now like to understand how much of it is driven by changes in stock price and dividend payouts. I have all the data ...