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, ...
1
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2answers
103 views
What do the terms in-sample and out-of-sample estimates mean in MVO?
How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ?
1
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1answer
134 views
Minimum variance hedge with more than one asset
My portfolio comprises of 3 assets A,B,C that are correlated and the variance-covariance structure is known. At any given point in time, my position in Asset A say is given to me.
I need to ...
1
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1answer
186 views
Does amortization of bond start accumulating on trade date or settlement date?
I am sorry if this is not appropriate here. We are building a wealth management system and I really would like to know whether amortization of bond start accumulating on trade date or settlement date ...
1
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1answer
105 views
Expected length and depth of drawdown
Does anyone know of any model to estimate the distribution of drawdown length and depth assuming a certain portfolio dynamics? The arcsine law seems to suggest that a portfolio can spend a large ...
1
vote
2answers
320 views
Multi asset option portfolio risk management (greeks and FX exposure)
I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
1
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1answer
95 views
Resampled efficient frontier length of simulation
I was provided with a VBA program from my lecturer that applies the resampled efficient frontier. We have an investment horizon $T$ (6 years) and he uses a multivariate normal distribution with ...
0
votes
0answers
118 views
Looking for FpML best practices
We want start using FpML within our organisation; where message will be sent using FpML.
What are best practices to do this ?
If anyone who have used Tools as well as; i want to use FpML for ...
-3
votes
1answer
125 views
Methods for distributing cash into allocation
Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price?
As a simple example, a portfolio starts with ...
-3
votes
1answer
338 views
Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? [closed]
I often see trading strategies and portfolio construction that are based on cross-sectional regression. For example, I often see regressing some numbers against some factors.
I was wondering how ...
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votes
2answers
121 views
How to use mean-variance weights in practice (when going short is allowed)? [closed]
I have calculated my optimal portfolio weights following the mean-variance framework where I go $w_1$ in the risky asset and $1-w_1$ in the risk free rate.
I get the following result: $w_1$ = 1.5, ...
