Im wondering if we can get the portfolio size approximation, if we have the volatility and -/+ pnl of the portfolio ? Is there a method or a formula ? Example the annual volatility of 3% and daily PnL in range of +/- 10000€ ? Thank you


closed as off-topic by skoestlmeier, Bob Jansen Apr 30 at 13:26

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  • $\begingroup$ Convert the annual volatility to daily and then it becomes fairly easy. $\endgroup$ – Alex C Apr 30 at 14:02
  • $\begingroup$ Once we have the daily vol, how to go from me it to the find the portfolio size? Please help me it’s quite urgent $\endgroup$ – Gogo78 Apr 30 at 14:09
  • $\begingroup$ 3% a year is 0.03/sqrt(252) = 0.00189 per day. If 10000 EUR is twice the daily standard deviation then the portfolio size is 5000/0.00189 = 2.6 million EUR. Caution: this is very approximate, could easily be off by a factor of 2 or more. $\endgroup$ – Alex C Apr 30 at 15:02
  • $\begingroup$ Oh thank you, this can work if the pnl is a range +/- 10000 ? $\endgroup$ – Gogo78 Apr 30 at 15:09
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    $\begingroup$ Your lack of knowedge is dangerous, please study these things before you get in trouble. $\endgroup$ – Alex C Apr 30 at 15:14