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7
votes
4answers
388 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? ...
2
votes
3answers
71 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: ...
0
votes
2answers
66 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 ...
6
votes
1answer
162 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. ...
1
vote
1answer
33 views

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 compute overall risk. To be more specific, assume that my risk measure is VaR of a portfolio. ...
1
vote
1answer
28 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 ...
0
votes
1answer
42 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 ...
-1
votes
1answer
119 views

In a FX options book, is the sum of P&L equal to the portfolio value?

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
5
votes
0answers
440 views

Shrinkage Estimator for Newey-West Covariance Matrix

I like to apply the Newey-West covariance estimator for portfolio optmization which is given by $$ \Sigma = \Sigma(0) + \frac12 \left (\Sigma(1) + \Sigma(1)^T \right), $$ where $\Sigma(i)$ is the lag ...
2
votes
0answers
79 views

Liquidity Adjusted Asset Pricing Model

I have a data set with 4000 companies and I have calculated a liquidity measure of each of the company in the dataset as Where, Turnover is the monthly average ratio of daily volume to shares ...
2
votes
0answers
113 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 ...
2
votes
0answers
38 views

How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
2
votes
0answers
81 views

Ledoit-Wolf portfolio weights calculation

I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset. ...
2
votes
0answers
33 views

Budget Constraint in Duffie's book

On Page 5 of Duffie's Dynamic Asset Pricing Theory, the budget-feasible set is defined as: $$X(q,e) = {e+D^T\theta \in R_+^s:\theta \in R^N, q\theta \leq 0}$$ Compared to Kerry Back's presentation of ...
2
votes
0answers
40 views

Portfolio optimised for diversification and regular yield. How to hedge?

Here is a portfolio optimisation for equity dividend and yield designed to diversify holdings and produce regular monthly returns using only ETFs complete with R code. ...
2
votes
0answers
58 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 ...
2
votes
0answers
172 views

What happened to Mountain View Analytics?

I stumbled over Thomas Cover's work on algorithmic portfolio selection; apparently, an outfit called "Mountain View Analytics" attempted to implement the suggestions from Cover's research. ...
2
votes
0answers
87 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 ...
2
votes
0answers
781 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 ...
2
votes
0answers
131 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 ...
1
vote
0answers
25 views

PnL Explained Using Scenario(Full Reval Model)

I was wondering if any quant guru can help . How to calculate the PnL explained using full reval aka scenario based = > t - (t-1) approach for linear instrument. I am finding difficulty to understand ...
1
vote
0answers
28 views

Under which conditions the minimum variance portfolio involves no short selling?

If $\rho_{12} < 1$ or $\sigma_1 \not= \sigma_2$ then $\sigma_v^2$ representing the variance of the portfolio with weights $(w_1, w_2) = (s, 1-s)$ as a function of $s$ attains its minimum value at: ...
1
vote
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: ...
1
vote
0answers
26 views

How to understand stock return comovement

In his book "Asset Pricing" chapter 20, Cochrane said For example, suppose that average returns were higher for stocks whose ticker symbols start later in the alphabet. (Maybe investors search ...
1
vote
0answers
102 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
1
vote
0answers
50 views

Investing in all assets with positive expected return and allowing for positive correlation

How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ...
1
vote
0answers
181 views

Tangent portfolio weights without short sales?

Consider a mean-variance investor in a world with a risk-free asset. Let $R_f>0$ be the return of the risk-free asset, $\mathbb{E}(R_i)>R_f$ the expected return of the risky asset $i$ and ...
1
vote
0answers
58 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
0
votes
0answers
43 views

measuring portfolio performance using monte carlo simulation

I have a financial portfolio comprising standard asset classes such as equities, bonds, and commodities. I developped a strategy (optimized) and I include it in the financial portfolio. I want to ...
0
votes
0answers
26 views

combining returns in portfolio analysis

In portfolio analysis, can anyone think of a reason it might be a bad idea to simply combine all the past returns into a single return based on your asset allocation and then determine portfolio and ...
0
votes
0answers
18 views

Calculating portfolio returns from a dynamic, optimal re-balancing strategy

I am calculating a dynamic strategy with optimal re-balancing as in here. As a result of maximizing the expected utility function I obtain the weight for the risky asset in period $t=0$. All such ...
0
votes
0answers
37 views

Bond portfolio optimization

Problem is that I want to match single country term structure return as closely as possible. What would be best way to construct proxy to do this, with less bonds than in original term structure? I ...
0
votes
0answers
25 views

derive variance of a portfolio

I'm stuck on a derivation of the variance of a portfolio of securities $K_1,K_2$ formula The end result is $Var(K_v) = w_1^2Var(K_1)+w_2^2var(K_2)+2w_1w_2cov(k_1,k_2)$ Proof so far: Let $K_v = ...
0
votes
0answers
14 views

building a correlation of equity portfolio to custom benchmark 60/40

Hi i have built a custom portfolio of equities with weights but would like to plot the daily, monthly and annual correlation to 60/40 benchmark. Please see code below and suggest how I can do the ...
0
votes
0answers
38 views

How to form Decile Portfolios based on Liquidity measure with missing data in R

I have a dataframe with over 4000 companies data (as column) and have calculted their daily Quoted spread measure ( measures liquidity for each stock) for 15 years. And then from the daily have ...
0
votes
0answers
35 views

Solving inequality constraint

I am trying to solve the following inequality constraint: Given time-series data for N stocks, I am trying to construct a portfolio weight vector to minimize the variance of the returns. the ...
0
votes
0answers
24 views

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 ...
0
votes
0answers
29 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 ...
0
votes
0answers
16 views

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 ...
0
votes
0answers
83 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 ...