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Questions tagged [allocation]

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Allocating bond PnL in a similar way to swaps

In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
Attack68's user avatar
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Pairs trading gradient [duplicate]

For a pairs trade, when calculating the zscore should I include the gradient (slope) from OLS in the calculation: ...
Tariq Hamid's user avatar
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Pairs trading intercept [duplicate]

For a pairs trade, when calculating the zscore should I include the intercept point in the calculation: ...
Tariq Hamid's user avatar
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For mean-variance portfolio optimization, shouldn't all the allocations sum to 1?

Reading a paper by Black and Litterman, I'm having trouble understanding the set of valid allocations in which we're trying to optimize expected returns. In Table III, the authors show two portfolios ...
Arthur Santana's user avatar
1 vote
0 answers

Allocation methodologies under FRTBA SA

Hi I have been comparing several methodologies for allocation of standalone capital charge to the underlying desks and I keep getting very vague results on which allocation is superior in terms of ...
Anna Litvin's user avatar
3 votes
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How to reconcile CAPM with Discounted Cash Flows valuation?

According to CAPM (in its most basic form) our asset allocation will only depend on the expected returns and the covariance matrix of returns. If we also consider the risk-free asset and assume that ...
Alex Ortiz's user avatar
1 vote
0 answers

How to calculate contributions to the granularity adjustment

In the Basel pillar 2 framework a granularity adjustment is introduced. While the capital requirements in pillar 1 do not take concetrations into account, this is meant to be covered with this ...
Richi Wa's user avatar
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Looking for an optimal investment function from stock market model

Fiddod's user avatar
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Dendrogram/cluster analysis of correlation matrix

First post, hope I'm explaining things sufficiently clearly. I want to take a universe of potential, trade-able instruments and allocate them to portfolio managers. Traditionally, this is done using a ...
Newb41968's user avatar
5 votes
3 answers

How do Order Management/Matching Systems match/allocate orders (and filled prices)?

I am working on an improvement of my company's order allocation system. We run a central Order Management System (OMS) but currently performance attribution from filled orders leaves room for ...
Matt Wolf's user avatar
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1 answer

Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...
Claudio's user avatar