Questions tagged [portfolio-management]

The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, selection of securities, execution, revision, and evaluation.

Filter by
Sorted by
Tagged with
0
votes
0answers
12 views

Using Timeseries DB for Tracking Asset Performance over time

I am building a system that allows users to purchase digital assets, and i would like to know the asset's performance of individual users. A user may purchase an asset multiple time in a single day, ...
0
votes
0answers
17 views

What is the formula for the global minimum variance portfolio with positive weights?

I know how to algebraically solve for the weights when short selling is allowed but I can’t seem to find the formula for when it’s strictly positive an the weights sum to 1 anywhere online.
0
votes
2answers
47 views

What do large weights above 1 in a portfolio represent?

If I have a portfolio consisting of weights -12,11,3,-2,5,-5, I know that negative weights correspond to shorting but what do these large weights represent? I thought the weights are the proportion of ...
1
vote
0answers
70 views

How to implement an “Active Long Volatility” Strategy?

The research paper "The Allegory of the Hawk and Serpent" describes an asset allocation referred to as the "Dragon" Portfolio, which allocates 18% to "active long volatility&...
1
vote
1answer
76 views

How to calculate a position's contribution to its portfolio's tracking error?

Say we have assets X (with weight $w_a$) and Y (with weight $w_y$) in a portfolio. X and B returns are correlated: $Cov(R_x, R_y)\neq 0$. The portfolio's tracking error is: $std(R_p - R_b) = std((w_x*(...
0
votes
1answer
30 views

How to combine different strategies in a backtest (and IRL)

I am trying to combine long and short strategies into an L/S strategy in my backtesting program. The way I have my backtester set up is it takes a signals object (...
1
vote
0answers
29 views

Can someone explain how the evaluation and execution through to post-acquisition portfolio management?

I am looking into Private Equity. As the topic says. I'm trying to understand the process behind the evaluation and execution through to post (and pre? if there is some) acquisition portfolio ...
2
votes
0answers
43 views

Question on the details of certain parameters in Sharpe Ratio [closed]

I'm puzzled about certain parameters in calculating the annualized Sharpe Ratio using monthly return data. Average excess return: Does this mean the arithmetic average of all the monthly excess ...
0
votes
0answers
48 views

CPPI Returns for different floors

I am new to the topic of Constant Proportion Portfolio Insurance, and have implemented it in R for the first time. Now if I calculate the cumulative return of the ...
0
votes
2answers
54 views

Choice of factor model based on correlation

I have a portfolio of assets. Each assets have been discretionally (based on investment manager experience) related to economic factors like (like exchange rate inflation spread etc). Now for each ...
1
vote
1answer
124 views

How to calculate the net return of each “partner” at different times?

Let's suppose I am starting to manage some money. The money is invested in ETFs, particular de VOO. Let's suppose I have partner one with 1,000 USD, and with this, I can buy 10 shares of VOO at 100 ...
1
vote
0answers
40 views

Cumulative returns are more correlated than non-cumulative

I was just comparing two daily returns series and noted that the correlation between them is a lot higher if they are cumulated (about .95 for cumulative returns, vs .15 for non-cumulative). I feel ...
2
votes
1answer
62 views

liquidity of a portfolio of options

In the asset management industry, many reports contain liquidity metrics such as the no. of days to liquidate 95% of a position, based on a certain participation rate. If that position is a stock or a ...
2
votes
0answers
40 views

Studies on performance comparison of portfolio theories?

Are there any papers doing as broad as possible comparison of various portfolio theories performance? For example, compare specific theories: MPT Risk parity Black-Litterman etc or compare models: ...
5
votes
0answers
131 views

Optimizing a portfolio under known risk

I want to maximize the return of a $n$-asset portfolio under known risk: $$\max_{\{w \in \mathbb{R}^{n}|w_{1}+...+w_{n}=1\}} \; \mathbb{E}\left[\sum_{i=1}^{n}w_{i}R_{i}\right]$$ under the constraint $$...
1
vote
1answer
59 views

How do i find the covariance between two portfolios?

I know that the formula for covariance is But this is for two securities. How do I find the covariance between two portfolios? more specifically between the global minimum variance (GMV) and the mean-...
0
votes
0answers
18 views

Assessing transaction costs of different portfolio strategies

I am trying to evaluate different dynamic allocation strategies based on the same stocks' universe according to their transaction costs. I was thinking to simply compute it as some sort of turnover ...
1
vote
1answer
79 views

What’s the best Backtest Software/method? [closed]

I have a CSV which looks like this. Ticker | Buy Date | Sell date AAPL | 2018-01-03 | 2019-03-30 TSLA | 2019-03-01| 2019-04-05 What’s the best way to backtest this CSV performance given that ...
0
votes
0answers
38 views

How do I calculate FX forward hedge ratio?

Suppose I have a USD holding of 1,000,000 in my portfolio and I want to convert it into EUR in a month's time. I enter into a FX forward contract of the same amount USD 1,000,000, meaning that I have ...
1
vote
0answers
88 views

How does negative performance of a portfolio constituent affect its weight?

This is an easy question, I hope. Suppose we have a swap A with a long position, which, originally, has a weight of 30%. Over time, it has a positive performance of 3%, meaning we have a multiplier ...
0
votes
1answer
47 views

Which one is the optimal risky portfolio in the efficiency frontier in the absense of a risk free asset?

I know that the tangency point between the CAL line (drawn from risk-free asset's return) and the efficiency frontier is the optimal risky portfolio. But what if there is no risk free asset? Can I ...
1
vote
0answers
65 views

Full Copula View using Meucci's Full Flexible View

I'm currently setting up an "Investment Framework" that should allow the following steps: Investment Committee (IC) has to decide on probabilities for 4 different market states. I have historical ...
4
votes
1answer
62 views

Why use square root of companies market cap in the WLS matrix

When doing a regression based performance attribution I see that people normally use WLS. So that both our independent and dependent variables are multiplied by our WLS matrix, which is a diagonal ...
0
votes
1answer
117 views

Active vol strategy within a portfolio

Suppose I'd like to have 10 % of my portfolio allocated to "long volatility" by rolling straddles . Obviously going all in on one trade implies significant risk of losing all the money. Does anyone ...
0
votes
0answers
17 views

Insured Portfolio via call + cash: how much cash?

I am unsure about the quantities to keep in the risky asset, S, and the non-risky asset, M, when constructing an insured portfolio via Call + Cash (rather than Stock + Put). My understanding so far is ...
18
votes
3answers
3k views

Hedging Covid-19 and other low probability high loss risks

Covid-19 and similar risks are low probability, high loss events. Does it make sense to utilize options to provide hedges for such events? For example, should one utilize long positions in deep out-...
2
votes
1answer
63 views

Difference between Risk Premia, Alternative Risk Premia and Factor Investing?

I'm reading about this three concepts but still can't see the difference between the three of them, can someone please explain the main difference between three of them ? Thanks
0
votes
0answers
30 views

Calculating portfolio sensitivity to macroeconomic shocks

I am interested in modeling the sensitivity of an equity portfolio's value to hypothetical shocks to the real economy, captured by real GDP and inflation. I would want to see what the corresponding ...
0
votes
1answer
45 views

relationship between the expected rate of return and the value measured by the beta factor

Assume that only two companies are listed on an effective capital market: companies A and company B. Capitalization (market value of all shares) of both companies is the same. Expected rate of return ...
0
votes
0answers
30 views

feasible set if short selling of risk free asset is not allowed

I have 3 risky assets and one risk-free asset. From them I have to determine what the set of portfolios achievable looks like if there is short selling of risk-free asset is not allowed. What does ...
0
votes
1answer
61 views

is it possible to get minimum variance line having only covariance matrix?

Hey I have covariance matrix: $$C=\begin{pmatrix} 0,01 & 0.01 & 0\\ \\ 0.01 & 0,02 & -0.01 \\ \\ 0 & -0.01 & 0,03 \end{pmatrix}$$ So the variance of porfolio is: $$\...
1
vote
1answer
44 views

Do the wallet weights with the minimum variance need to be nonzero?

I wonder if we have n risky assets, does the portfolio with the minimum variance always have non-zero weights or can any weight be 0?
3
votes
0answers
38 views

Statistical significance of mean returns between two portfolios

Suppose I have developed two versions ($A$ and $B$) of a factor model for ranking stocks. Both versions of the model use the same scoring system: stocks are percentile ranked within a given universe ...
0
votes
1answer
38 views

CAPM Model, is this exercise done correctly?

Hey i need to know if the task is done correctly, please help :) Standard deviation of the rate of return on the market portfolio is equal to $\sigma_{MP}=1,5\%=\frac{15}{1000}$. I have portoflio ...
-1
votes
1answer
48 views

Time varying weights in a portfolio

As I have seen in my portfolio theory class, we define the weights of some assets and quantify the risk and return of the whole portfolio. In this setup, the weights do not change in time. What if the ...
0
votes
0answers
37 views

Advantage of copula over estimation based on historical data

It seems to me hard to intuitively understand the concept of copulas and their advantages. For example, why would it be better to estimate value at risk of portfolio by modelling its asset returns ...
1
vote
1answer
44 views

Hedge ratio with future contract [closed]

I want to buy some stocks and short future contract instead. I wonder whether I can calculate the hedge ratio?
3
votes
1answer
96 views

How to model/price the risk of Covid-19 and other pandemics

How would you model and price the risk of Covid-19 pandemic? These large cost low probability events with very little history seems to pose a particular challenge when quantitatively modeling and ...
0
votes
2answers
128 views

Hedge backtesting: ex-ante Beta vs observed Beta (is this even possible?)

A global equity portfolio has for objective to outperform a benchmark (MSCI World). I hedge the sensitivity of the portfolio to MSCI World (the beta) so that only the alpha remains unhedged. The ex-...
1
vote
0answers
30 views

Time and asset weighted rate of return of a portfolio

If I have a portfolio with 3 initial assets on day 1 (say, stock 1 with beginning market value of \$100, stock 2 \$150 and stock 3 \$175) and after 10 days the stock 2 is sold for \$200, how can I ...
0
votes
1answer
76 views

R - Portfolio construction based on own calculations, with rebalancing of components

I have used random forest in R to get probabilities for stocks being in a certain class. With those probabilities i would like to construct portfolios containing the 5 stocks with the highest ...
2
votes
1answer
88 views

Hedging with interest rate derivatives

This might be a stupid or basic concept for some of you, I'm new to the concept of hedging with interest rate derivatives, I understand how to hedge an equity portfolio but i'm struggling with the ...
0
votes
0answers
20 views

Using monthly CRSP EWRET to build equally weighted portfolios based on market equity and book to value ( SAS)?

I was wondering if it is possible to download the EWRET variable from Wharton in order to construct equally-weighted portfolios and rebalance every June? I have seen a few fancy codes for this ...
0
votes
0answers
32 views

Question about financial mathematics, meeting a claim

I have a question regarding exercise 12, chapter 1 of "A course in Financial Calculus" by Alison Etheridge. It is as follows: "Suppose that the value of a certain stock at time $T$ is a random ...
0
votes
1answer
120 views

FX Swap P&L question

I am currently trying to compute the P&L of a FX swap and to understand it's implications. Let's say when we sell 1M EUR spot eur/usd at 1.08 and at the same time buy a one month month forward ...
0
votes
0answers
33 views

Performance attribution, what type regression model to use

When carrying out a regression based performance attribution should you use OLS or WLS? I always thought that because of the heteroskedacity in the residuals that you should use WLS but is that ...
9
votes
2answers
526 views

Suppose that we are wrong about the relevant class of distributions for financial economics and econometrics. Now what?

I read a very interesting paper by Harris (2017) where he points out some interesting link between market microstructure and the distribution of returns on equity. You can make a good case that the ...
0
votes
0answers
32 views

Fixed income management problem

First of all, hope everyone is safe and sound. I would like to describe the following scenario and my thinking Welcome any comments on my thought process!!! 3 swaps outstanding Pay fixed 100mln, ...
1
vote
0answers
26 views

Black litterman's formula

Hi just curious where can I find the proofs of Black litterman's first term and second term formula? I don't quite know how exactly they derive the entire formula using inverses of matrix. Thanks!
0
votes
0answers
36 views

Question about equation (7) - Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

Question regarding the article Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? by Jennifer Bender, Jerry Le Sun and Ric Thomas, The Journal of Portfolio Management Multi-Asset ...

1
2 3 4 5
11