The portfolio tag has no wiki summary.
-4
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0answers
68 views
Protfolio VaR calculation [closed]
I am new in the quant and working to calculate the VaR for one day returns.
I have 12 stocks in my portfolio and 251 daily closing prices for those stocks.
I am using following steps:
Create the ...
0
votes
1answer
102 views
Portfolio software that shows 'total return' for each investment
I'm a high school technology teacher and sponsor for the Charity Student Investment Project. Currently our students track our investment portfolio via a google spreadsheet ...
3
votes
0answers
94 views
Risk Budgets with Target Portfolio Volatility
I'm working through the implementation of a risk budgeting approach as described in the recent Roncalli paper. The idea is that the portfolio manager sets a contribution of total portfolio volatility ...
-4
votes
0answers
65 views
how calculate a weight of a stock in protfolio [closed]
I am new on this site and as well as just started the Risk Analysis.
How can we get the weight of a stock in the portfolio? Does I use the Value At Cost of each price to evaluate the portfolio and ...
2
votes
0answers
44 views
Portfolio insurance with a coherent risk measure (CVaR)
I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to ...
1
vote
0answers
80 views
analyze strategy performance with given matrix of weights/time and weekly returns in R
I have a matrix of 259 weekly returns, 50 assets and a portfolio composition for each of the 259 weeks. I would like to test the performance of the portfolio during 52 weeks, rebalancing every 12 ...
2
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0answers
77 views
How to correctly construct a value- and equally weighted portfolio consisting of property-types?
A problem of which I couldn’t find the answer on the forum is about the construction of equally-weighted and value-weighted portfolio.
I want to compute the equally-weighted property-type portfolio ...
1
vote
2answers
123 views
Statistics of difference between two GBMs
if I have two asset prices modeled separately as geometric brownian motions. How do i go about calculating the expected statistics of their difference? Like given the sigmas and mus of both processes, ...
13
votes
5answers
4k 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 ...
2
votes
0answers
56 views
How to work out weights for a portfolio based on an inverse ratio with positive and negative values?
I am trying to work out how to determine weights for the assets in order to form a portfolio. The ratio I am using is EV/EBIT, hence the smaller the better. The problem is I don't know how to handle ...
5
votes
1answer
324 views
Are there any tools or useful algos for identifying corner portfolios?
Let's say I am performing mean-variance optimization subject to some weight constraints.
I'd like to identify the set of corner portfolios so that I can interpolate the entire efficient frontier. A ...
6
votes
5answers
363 views
portfolio optimization from empirical return distributions
I'd like to do a portfolio optimization of a set of ETF's but want to avoid traditional problems with normality assumptions in returns etc.
Are there techniques that let me sample 'draws' from the ...
2
votes
1answer
303 views
Using alpha to evaluate trading strategy
I have a trading strategy that generates returns $R_{t}$. I want to test the strategy by looking at the alpha:
$R_t - R_{f,t} = \alpha + \beta (R_{m,t} - R_{f,t}) + e_t$
I compare my alpha against ...
3
votes
2answers
351 views
Equity option portfolio greeks with underlying
I'm curious about how to construct the five basic greeks for an equity option portfolio when there are shares of the underlying in the portfolio.
For example, a portfolio of 100 call options and 100 ...
4
votes
3answers
284 views
Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
For a Long/Short Strategy, I have two stocks with different volatilities. How can I calculate the right position size for each leg?
*The pair trading is not coming from co-integration but more as a ...
3
votes
1answer
122 views
How do I model risks for specific short-term short calls in a portfolio with limited data?
I'm trying to do some risk analysis on a portfolio of bonds, currency, stocks and short calls. The short calls expire in approximately 15-30 days and I've only got around 20 days of pricing data on ...
6
votes
0answers
556 views
Modelling with negative interest rates
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio. The literature on modelling negative interest rates is limited, and the only theory I could ...
3
votes
1answer
403 views
Michaud's Resampled Efficient Frontier - Out of Sample Simulation Testing
I will be putting ALL my account points on bounty to whoever answers this question [if your answer is crap but it's the only answer, you're getting the 165 points]. You will have to wait 2 days or so ...
1
vote
1answer
101 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 ...
1
vote
1answer
321 views
derivation of formula for portfolio skewness and kurtosis
Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations?
For example, the portfolio variance formula is well known and I ...
11
votes
2answers
2k 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 ...
5
votes
5answers
544 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
120 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
173 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
1k 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 ...
4
votes
4answers
794 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
237 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
923 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 ...
