New answers tagged

0

This is a commonly seen problem, and also relates to situations in which one is dealing with some less-liquid underlyings. I will describe a method that you could think of as "stochastic backfilling" - it uses the "Correlated Brownian Bridge" technique. There are many references for the standard BB technique on the web. Let us assume we have one data ...


2

Have you considered Marginal Contribution to Total risk (MCTR)? You can decompose your risk across securities/sub-sectors/sectors, such that sum(weight of security * MCTR of security ) = portfolio risk (standard deviation). A good discussion on the topic can be found in Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and ...


1

It means you should buy the 4 stocks. The model you are using seems to restrict short selling, i.e. by removing this restriction you could get negative weights on certain assets with all assets adding up to 100%. Re your question on limiting your asset selection to stocks that are expected to outperform the population: this has to do with your assumptions ...


0

In a physical system the eigenvectors represent "modes" of random "vibration" (random movement) of a system and the eigenvalues represent the variance (i.e. amplitude) of each of these modes. The eigenvalues added together equal the variance of the overall (combined) movements (the Decomposition Property). In the stock market the main mode (biggest ...



Top 50 recent answers are included