# Tagged Questions

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3answers
81 views

### Is there a way to meaningfully generate daily returns from monthly?

I have a set of 7 investments in a portfolio and I need to optimize the weightings based on some exposures to various markets/styles/economic factors. I was hoping to do some sort of simple exposure ...
1answer
172 views

### Completeness and Hedging Question

A question in some private notes I'm struggling to work through (exam. prep.). (iii) is where I hit a wall with my understanding & I'm lost thereafter. Any help/clarification gratefully received. ...
0answers
29 views

### Pricing portfolios [closed]

When a project title says Methods for pricing large portfolios does that mean the usual Markowitz like optimisation problem of finding the weights, then possibly the expected return - the price?...
1answer
43 views

### What is the intuition of a spread portfolio and how exactly is it constructed?

In a lot of papers spread portfolios are constructed, like in Harvey and Siddique (1999), Table IV, or in Fama and French (2005 from SSRN), page 15. First, why is it important to construct such ...
1answer
44 views

### Derivation of the tangency / maximum Sharpe ratio portfolio in Markowitz Portfolio Theory? (2 risky assets)

I’m looking for a nice & detailed explanation for how to derive the formula for the weight of asset 1 in the tangency / maximum Sharpe ratio portfolio in Markowitz portfolio theory in a world with ...
2answers
57 views

### Do you know fast to compute, yet plausible risk attribution measures?

I am looking for a fast to compute, yet plausible risk attribution measure based on the risk measure used to compute overall risk. To be more specific, assume that my risk measure is the VaR of a ...
1answer
56 views

### What does an optimized portfolio really tell us?

I am very new to this field, and have very recently started doing some self study on this topic. After reading some papers and reproducing some of the results in them, I am not very clear about what ...
3answers
82 views

### Calculating Portfolio Returns Across Sectors

I have a table of asset (mutual fund) returns and the percentage that each asset is in a particular stock sector: ...
4answers
425 views

### Calculating VaR with Monte Carlo simulation

I would like some help here :) I have a problem calculating VaR with the Monte Carlo Simulation. I have followed then next steps, is this a right way to calculate VaR or I need something more? 1....
1answer
44 views

### What does each bar in the empirical average eigenvalues spectrum of the correlation matrix of log-returns of stocks represent?

An example diagram, taken from this paper, looks like follows: What is its physical interpretation? The highest eigenvalue, the paper says, represents market mode. So, what does the difference in ...
0answers
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0answers
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### Find all possible permutations of asset weights in a given portfolio?

I need to find all possible asset weight combinations for an 8 asset portfolio. Each weight is a multiple of 10 (0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1) Some assets can be weighted with ...
1answer
36 views

### efficient portfolio with given risk

Is there a formula to derive an efficient portfolio to maximise the return, x'mu, for a given risk, x'S x (where x are the portfolio coefficients, mu is the mean return for each asset and S is the var-...
0answers
30 views

### Constrained portfolio optimization - orthogonalize factor exposure

I am optimizing a stock portfolio with a few factors. If I constraint exposure to one of the factors to be a constant and set the exposure to other factors as zero. It is ok to use a diagonal factor ...
0answers
115 views

### Behaviour of out of sample efficient frontier

I am comparing the efficient frontier of a set of portfolios that are in and out of sample. The first period is from 1991-01-03 until 1992-10-03 and the second one from 1992-10-03 until 1994-03-03. I ...
3answers
202 views

### How to estimate variance-covariance matrix of assets with different length of historical data? [duplicate]

Consider you have 4 assets A, B, C and D, where Asset <...
0answers
86 views

### 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: \$\frac{S_{t+1}}{...
0answers
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### Where can I find information about the “Target Portfolio Pattern”?

It might not be known as a "pattern" but basically it's a way of (low-frequency) order management where a 'target portfolio' is built using notional amounts which is then compared against an 'actual ...
0answers
87 views

### Calculating CoSkewness and CoKurtosis from univariate skewness and kurtosis and calculate portfolio skewness and kurtosis

I have calculated skewness and kurtosis for n assets and got a skewness vector skew = [S1,...,Sn] and kurt = [K1,...,Kn]. Now with having covariance matrix and these vectors I would like to calculate ...
1answer
187 views

### How to compute simple and log portfolio returns?

I am looking for more details to perform simple and log returns for an entire portfolio. However, I've only been able to find the following semi-reliable source (see Page 9 and Page 19): Here are my ...