# 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.

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### Criteria for excluding an Asset Class from a Strategic Asset Allocation

While historically the return, volatility and correlation characteristics justified the inclusion of Sovereign Bonds (US Treasuries, European Central Bank Debt, etc) in Strategic Asset Allocation ...
• 5,662
560 views

### How to compare mean-variance-skewness-kurtosis portfolios obtained by expected utility maximization?

Suppose I have some portfolios which are the result of maximizing the expected utility of different approximations of a utility function, how do you test these portfolio's out-of-sample and how do you ...
• 31
564 views

### calculating sharpe and sortino ratio given monthly returns [closed]

suppose I have (fictitious) monthly returns: ...
• 101
266 views

### PCA on the stocks

I have N stocks, and a covariance matrix that indicates the covariance of these N random variables. Now, if I run PCA on the covariance matrix, what can you tell about the principle component?
132 views

### How do you simulate returns for a portfolio when you have Lumpsum + Monthly investments (SIP) in place?

I'm trying to simulate portfolio returns using Norm.inv function in excel. Inputs to the formula: Prob= Rand, Std dev= Historical, Mean= 5 year historical average. Its easy to do this when you're ...
• 11
110 views

### How to set a portfolio turnover ratio threshold according to volatility?

With the various crises affecting the financial markets, here a pandemic, this ratio skyrockets almost every time, which limits its interpretability. We know that the ratio increased during the ...
• 11
1 vote
314 views

### Does mean variance optimization work in real life? If so, why are defined benefit pension funds so underfunded?

I understand the theoretical underpinnings of mean variance optimization and modern portfolio theory. But does the application of modern portfolio theory work in real life? If so, why are all the ...
• 5,662
1 vote
166 views

### Momentum strategy with Entropy Pooling

i'm currently trying to implement a ranking based on momentum indicators into my Entropy Pooling approach. Basically, the idea behind Entropy Pooling is to incorporate views into a reference model (...
• 19
3k views

• 157
1 vote
349 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
35 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 ...
• 11
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### 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 ...
• 21
101 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 ...
92 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 ...
• 326
181 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 ...
• 131
1 vote
290 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 ...
82 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 ...
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