# Questions tagged [portfolio]

A portfolio is a collection of financial instruments. We often collect instruments together to represent the complete holdings of an investor and to analyze the overall risk (which may be lower due to diversification, i.e the portfolio holding multiple instruments).

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### Calculating Daily Returns for a Zero Net Investment Portfolio

I'm trying to create a zero net investment portfolio in an equally weighted manner using daily holding period returns for stocks. Here is my setup: Day 1: Long: Stocks A, B, C Short: Stock D Day 2: ...
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### Log return on short selling when the loss exceeds 100%

I'm working on a theoretical portfolio that includes both long and short positions. I already have the daily holding period returns, and I want to calculate both arithmetic and logarithmic returns for ...
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### portfolio rebalance weight up and down

I am rebalancing portfolio , where my algorithm has recommended new securities also there are few existing in my portfolio. For simplicity , let's say I want to wight my securities based in ...
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### Combining alphas for mean variance optimizer

I have about 10 signals that I want to use to trade about 100 assets. I am using a mean variance optimizer that has a transaction cost penalty and enforces various portfolio constraints. I need to ...
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### Scenario probability in portfolio optimization

I have few questions regarding linear programming formulation of expectile-based portfolio optimization. From this article on page 51 the LP algorithm is presented. And the problems are that I don't ...
1 vote
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### Decompose portfolio in factor risk

I am reading the risk chapter of Grinold Active Portfolio Managment. I understand how to calculated specific and factor risk of my portfolio, what I don't understand is how to calculate how much risk ...
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### Asset rate (elasticities ?) of substitution

I'm kind of a newbie in the finance research area. However, I'm working on cross-asset spillovers (transmission of shocks between assets) and my guess is that it comes from investors behaviors. ...
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1 vote
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### APT assumptions

Suppose an investor identifies an asset with return $R_i$ whose excess return, when regressed on the market portfolio with return $R_M$ and a (zero-cost) long-short portfolio with return $R_{LS}$ ...
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### How to create Industry Portfolios per country? [duplicate]

Regarding the industry portfolio as created by Kennth R. French like here: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_17_ind_port.html I was wondering how I could do this ...
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