# Tagged Questions

The tag has no usage guidance.

38 views

### Including a score or a rank in portfolio-optimization

I have gathered a lot of experience using min-var optimization of the form $$w' \Sigma w \rightarrow Min,$$ where $w$ are the weights of the assets and $\Sigma$ is the covariance matrix. Of course ...
41 views

### How to understand quadratic finance or practice of Value-at -Risk(VaR)

We define the following notions for a jointly normally distributed random vector $P=(P_1,...,P_n)$ with f the density function. $$\mu=\int_{-\infty}^{\infty}(x_i-\mu_i)f_i(x_i)dx_i$$ \sigma^2_{ij}=...
62 views

### Sharpe Ratio for loans

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...
27 views

### Problem with determining weights in tangency portfolio (2 risky assets)

I use the following well known formula in order to determine the weight of asset i in the tangency portfolio (in the case of two risky assets): \$w_{i,T}=\frac{\sigma[r_2]^2E[R_1]-\sigma[r_1,r_2]E[R_2]...
72 views

### I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation

Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the ...
25 views

### Construction of momentum portfolio using STATA

I am working on Fama and French five factor asset pricing model in context of Asian markets. I have constructed market beta, size, value , investment and profitability factors. I would like to extend ...
28 views

### What is the importance behind an efficient frontier to be a straight line in the standard deviation-mean plane for Mean-Variance Portfolio Selection?

I'm currently working on a research project regarding Continuous-Time Mean-Variance Portfolio Selection problem. I got curious on why is it important for the efficient frontier to be a straight line ...