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5
votes
5answers
962 views

How to fit probability density function from sample moments?

If I have calculated the sample mean, variance, skew and kurtosis of a set of data, how would I go about fitting a probability distribution to match these moments (i.e. choosing a probability ...
2
votes
0answers
126 views

Calculating stock weight for SEC13F filers

I am trying to evaluate weight of stocks in portfolio for an investor. For this purpose I use SEC13F filings for particular quarters and historical prices from Yahoo. There are stocks in portfolio ...
5
votes
1answer
219 views

RMT (Random Matrix Theory) issue with callibrating MP distribution -

I am seeing an issue when callibrating an MP distribution. Assume a log return series for the SP500 with the following dimensions dim(xts.sp500.ret.stocksonly) ==> [1] 1133 478 ...
6
votes
1answer
3k views

What is a self-financing and replicating portfolio?

I try to understand the derivation of the Black-Scholes equation based on the "constructing a replicating portfolio". From mathematical point of view it looks simple. We assume that: Stock prices ...
11
votes
3answers
3k views

How do I find the most diversified portfolio, or least correlated subset, of stocks?

I have a trading system that chooses top 10 stocks in Nasdaq 100 ranked on relative strength and some other factors. However, I'd like to take positions in only 5 of these 10 stocks based on how ...
16
votes
6answers
8k views

Python library for Portfolio Optimization

Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...
5
votes
4answers
1k views

How can I select the least correlated portfolio of assets?

Can anyone explain the process and the calculations needed to select a portfolio of liquid futures assets with the least correlation? Given a set of returns for a series of assets, how do I select the ...
4
votes
2answers
293 views

Comparing Returns on a Sector Basis

I'd like to compare the returns of a portfolio segregated by groups to the returns of those groups in total. So say for example I have a portfolio with 40% Industrials and 60% Technology, then over ...
12
votes
5answers
1k views

is beta of a portfolio always meaningful?

Consider the following strategies: a stat arb strategy with no overnight exposure, but significant market exposure intraday. a market timing model which is always long or short the market. etc is ...