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.

172 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
2 votes
0 answers
120 views

How to Quantify Headwinds

What are some of the best ways to effectively measure headwinds for an open ended fund? Headwinds in this case refers to the amount of volatility contributed by a factor or a set of factors to a ...
Hay Fever's user avatar
1 vote
0 answers
31 views

What is the correct method to maximize information ratio ex ante of a 150/50 portfolio against the S&P500

I have no problem forecasting and minimize ex ante information ratio for a market neutral portfolio, because the benchmark is just zero and you are just minimizing portfolio variance while maximizing ...
xxanissrxx's user avatar
1 vote
1 answer
125 views

Shortcut for cutting portfolio volatility

When calculating the portfolio's historical volatility, do I need to factor the volatility of each asset individually and then do a covariance calculation or can I get away by measuring the volatility ...
user1234's user avatar
1 vote
0 answers
47 views

Calculate fund size given risk limit?

I was listening to a podcast and this guy mentioned the following (literally): The entire group is probably running 800 million at risk. So I'm going to say like call that like a, if you think of ...
AK88's user avatar
  • 1,840
1 vote
0 answers
55 views

Does it make sense to have an allocation to short term fixed income and a leveraged or unfunded position?

This may sound like a basic question but I have seen many large institutional investors have this as part of their asset allocation and am wondering why they do this? Does it make sense to have a ...
AlRacoon's user avatar
  • 6,107
1 vote
0 answers
132 views

What are some advanced portfolio rebalancing strategies?

Want to write some portfolio rebalancing code but have found only simple portfolio rebalancer strategies like calendar and threshold. I want to rebalance a portfolio with different asset groups (EQ, ...
ameyashete's user avatar
1 vote
0 answers
174 views

Volatility targeting / sizing for option strategies

I am trying to work out how to properly size an option strategy to a given target volatility. Assuming I have \$100 capital and I would like to have a strategy's long-run daily volatility to be \$1 (e....
user34829's user avatar
  • 166
1 vote
0 answers
115 views

OLPS in real conditions

The Online Portfolio Selection problem has been extensively researched over the years, and various models have been implemented in open-source projects on GitHub. However the theoretical frameworks of ...
Dr. Paprika's user avatar
1 vote
0 answers
185 views

Calendar time portfolio construction

I am writing my master's thesis about analyst star-rankings and whether their recommendations have investment value. For these purposes I am trying to construct calendar time portfolios as it was made ...
Orif's user avatar
  • 11
1 vote
0 answers
138 views

How to prove that the return criteria for adding an investment A to an existing portfolio can be represented using Sharpe Ratio Approach

How can I prove that the return criteria for adding an investment A to an existing portfolio can be represented as the below inequality using the Sharpe Ratio Approach for risk adjusted returns as ...
worldCurrencies's user avatar
1 vote
0 answers
49 views

Best bibliography on the classic Merton portfolio problem

I am writing a small section on my thesis about the classic Merton portfolio problem. I was wondering what are the best books on the subject. I am looking for something from the beginner to the ...
Paulo Rocha's user avatar
1 vote
0 answers
97 views

From annualized Sharpe Ratio to number of daily losses

I have seen a few statements that link a particular annualised Sharpe Ratio to the likely frequency of 'loss day' across a given period: e.g. "A annualised Sharpe Ratio of X, implies the ...
tfb's user avatar
  • 33
1 vote
0 answers
379 views

global minimum variance portfolio vs all-bond portfolio

I'm leaning portfilio theory and have got some questions. global minimum variance portfolio is defined as the leftmost point on the efficient frontier which suggest it is a all-bond portfolio if risk ...
techie11's user avatar
  • 213
1 vote
0 answers
40 views

Controlling for factors that influence minimum variance optimization

I am trying to compare the performance of two minimum variance optimization (mvpo) methods applied on stocks Hierarchical risk parity (HRP) vs the analytical global minimum variance formula. I feel ...
Lollorn's user avatar
  • 11
1 vote
0 answers
173 views

Calculating portfolio weights for Black-Litterman model

I am attempting to construct a portfolio using the step by step Black-Litterman model. My idea is to have a portfolio of, say 10 ETF's (equity based) in one sector and then add some uncorrelated asset ...
Ali khan's user avatar
1 vote
0 answers
36 views

Higher risk = high reward?

Some theory (in my understanding) suggests that price is the expectation of future cash flows discounted by expected return: $$p_t=\frac{\mathbb{E}^m_t[c_{t+1}+p_{t+1}]}{1+\mathbb{E}_t^m[r_t]}$$ where ...
Xiaohuolong's user avatar
1 vote
0 answers
193 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 (...
puRe22's user avatar
  • 19
1 vote
0 answers
238 views

Replicating portfolio

I have a doubt about the replicating portfolio methodology. Example - Consider an European Call with $K=21$ and underlying with current price $S_0=20$. We assume that, at the maturity, the underlying ...
Francesco Totti's user avatar
1 vote
0 answers
2k views

Portfolio Performance Attribution Using Carino Smoothing

I'm trying to conduct portfolio performance attribution using Carino smoothing, but it seems that the active returns do not match and I don't know why. Here is the example I use: \begin{array} {|r|r|r|...
March's user avatar
  • 11
1 vote
0 answers
37 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 ...
soet irl's user avatar
1 vote
0 answers
324 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 ...
nijshar28's user avatar
1 vote
0 answers
100 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 ...
junior_pm's user avatar
1 vote
0 answers
98 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 ...
R. Steigmeier's user avatar
1 vote
0 answers
68 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 ...
SquintRook's user avatar
1 vote
0 answers
61 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 ...
Ken's user avatar
  • 11
1 vote
0 answers
98 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!
Leopardl's user avatar
1 vote
0 answers
51 views

Portfolio construction with volume based bars

In the book Efficiently Inefficient, Lasse Pedersen interviews Myron Scholes: LHP: Why do spreads tend to widen during some periods of stress? MS: Well, capital becomes more scarce, both physical ...
ontic's user avatar
  • 75
1 vote
0 answers
132 views

Mean Semivariance Optimization VS PMPT

Mean Semivariance optimization defines semivariance, variance only below the benchmark/required rate of return, as: $(1/T).\sum_{t=1}^{T} [Min(R_{it}-B,0)]^2$ where $B$ is the benchmark rate, $R_{i}$...
OvermanZarathustra's user avatar
1 vote
0 answers
298 views

Machine learning for portfolio optimization

What algorithms from machine learning, supervised learning or unsupervised learning have been recently used for asset allocation models as alternatives to the Markowitz mean-variance optimization ...
develarist's user avatar
  • 3,000
1 vote
0 answers
158 views

Annualizing Sharpe Ratio using small time frames

I have coded a strategy that works 5m time frame. I know you multiply it by 252 but i am using 5m or sometimes 1h time frame. Which number do i have to chose to multiply? There are 72576 five minutes ...
Don Coder's user avatar
  • 139
1 vote
0 answers
182 views

Walk Forward Analysis Using Portfolio Analytics R

I am learning how to use the Portfolio Analytics package in R and I am concerned with overfitting the data for the optimization. The optimize.portfolio.rebalancing() function has 2 parameters that ...
Jordan Wrong's user avatar
1 vote
0 answers
20 views

What is the most recent measure of the US Municipal Bond Market Size (Capitalization)?

$3.853 trillion in second quarter of 2018 according to Fed. Today?
JorgeT's user avatar
  • 283
1 vote
0 answers
81 views

Non-redundant asset?

I've been solving many exercises with three assets that have two possible payoffs each, one payoff per possible future state. The question is always the same, i.e. is any asset redundant. After ...
Svit's user avatar
  • 91
1 vote
0 answers
50 views

No risk free security?

Imagine market without a risk free security. How is security market line constructed? How is it interpreted?
Svit's user avatar
  • 91
1 vote
0 answers
280 views

Problems with Performance Attribution Analysis

I am using the typical Brinson Model formula, but it doesn´t work, I think that is explained because of the compound effect and rebalancing... when I look my portfolio's YTD return and multiply by the ...
j_ortega's user avatar
1 vote
0 answers
211 views

Given multiple strategies with their ER, volatility, how would I calculate the combined Sharpe?

Without knowing the actual daily returns, I have a table something like this: ...
Eric's user avatar
  • 11
1 vote
0 answers
72 views

Why can't I take the Value at Risk "VaR" as a a risk objective in PerformanceAnalytics? (it does work for "ES)

I am currently playing around with PortfolioAnalytics package in R and some data and I am aiming to create different portfolios with different VaR. However, I am struggling first of all, add.objective(...
brko's user avatar
  • 11
1 vote
0 answers
87 views

Spot trading: exact mathematical definition of the positions for a portfolio

Let us say that I want to spot trade a portfolio constituted of a pair of two stocks of respective prices (for example in USD) $S^1_t$ and $S^2_t$, and suppose for example that they co-integrate ...
Arnold's user avatar
  • 11
1 vote
0 answers
133 views

Rebalancing order on trading pairs

I'm working on a program to rebalance my portfolio among a set of crypto assets. Though I'm a bit confused on how to best order the buys in sells among the various pairs. Consider the following ...
Justin's user avatar
  • 111
1 vote
0 answers
208 views

Correct beta weighted delta options formula?

Is this the correct formula for beta weighted delta: http://www.nishatrades.com/blog/beta-weighted-delta I've seen this What is the formula for beta weighted delta and gamma? but they seem to be ...
4thSpace's user avatar
  • 167
1 vote
0 answers
2k views

Some definitions in the BARRA Predicted Beta model

I'm studying the BARRA Predicted Beta model, and the common factor covariance between portfolio $p$ and the return on the market $m$ is defined as the product of the transposed vector of the factor ...
A. Attia's user avatar
1 vote
0 answers
96 views

Markowitz models with uncertain returns

I am analyzing the Markowitz models with uncertain returns as follows: after calculating the expected returns and the covariances of 30 monthly historical series of 30 stocks, I resolve the Markowitz ...
user33875's user avatar
1 vote
0 answers
503 views

How to reasonably aggregate returns across both different assets and different time-horizons?

This might be a somewhat open question, so any suggestion of improvement is welcome. Suppose at time $t=0$, we have $N$ different assets whose weights are $w_1,\cdots,w_n$ ($\sum w_i = 1$), and they ...
Vim's user avatar
  • 903
1 vote
0 answers
104 views

Mean-cVaR model: How can one include transaction cost

$$ \min \delta CVaR - (1-\delta) \sum_i^{n} \mu_i x_i \\ \sum x_i = \sum x^{old}_i \\ Losses(s) = \sum x_i - \sum_i^{n} (R(s,i))x_i \\ VaRDev(s) = Losses(s) - VaR \\ CVaR = VaR + \frac{\sum_s^{} ...
Sanjay's user avatar
  • 1,637
1 vote
0 answers
432 views

Is the Market Portfolio on the Markowitz Efficient Frontier?

I have seen "market portfolio" defined online (Wikipedia/Investopedia) as the bundle of all available investments where the assets are each weighted in proportion to their existence in the market. I ...
Jono's user avatar
  • 111
1 vote
0 answers
81 views

Benchmarking of Portfolio weights

I have 5 stocks and a commodity in my portfolio which I have allocated based on maximum Sharpe Ratio optimization. I need to benchmark them against an Index and compare the portfolio weights. How do I ...
Abhinav Bajpai's user avatar
1 vote
0 answers
513 views

Problems with Black-Litterman: negative portfolio weights, and very poor returns

I am trying to implement the Black-Litterman model using own-defined views matrix (from consensus analysts). However, I have encountered the problems of negative portfolio weights in some periods, and ...
Mataunited17's user avatar
1 vote
0 answers
898 views

What to use for Tracking error minimization

What programs/packages can one use to minimize a portfolio's tracking error? What I am trying to do is see what ex post TE, portfolio returns and variance can be achieved when adding CSR constraints ...
Wouter Adolfsen's user avatar
1 vote
0 answers
60 views

Portfolio Immunization from Yield Perspective

Let's say we have the following situation: an asset (mortgage) with fixed payments, a prepayment & oas models to run through, and calculations for duration, convexity, and price, based on them. ...
291890964's user avatar
1 vote
0 answers
116 views

Beta of options based strategy

This is probably a simple/dumb question, but I am not getting it. As per GMO's recent Insight: Second, as can be inferred from Exhibit 1, put writing strategies have a low beta to the equity ...
AK88's user avatar
  • 1,840