# Questions tagged [portfolio-selection]

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### Measuring liquiduity of a portoflio of bonds

I'm currently looking into applying bond liquidity out of curiousity. The Method i'm currently using is the Barclays LCS score (live.barcap.com/publiccp/RSR/nyfipubs/barcap-email-mkting/qps/LCS_In-...
79 views

### Jacobs and Levy: Enhanced Active Equity Strategies

Hello to everyone I am writing because I am having a bit of tough time figuring out how to replicate the constraints for a Portfolio Optimization using the set up from Jacobs & Levy 2006 - '...
977 views

### How modern portfolio theory(MPT) and CAPM are related?

1. Question In what sense Capital Asset Pricing Model(CAPM) is related with Modern Portfolio Theory(MPT)? Why do we need to check whether the current price of assets is overvalued or undervalued ...
181 views

### Question about quadratic form of f* in the Continuous Kelly Criterion

I am trying to follow the Optimal Kelly derivation on Wikipedia for two continuous assets: one risky and one risk-free. The derivation begins by assuming that the risky assets follows a GBM (a ...
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### Country allocation -optimization 3 countries

I have the following problem: an equity portfolio allocated to 3 countries. Each country has an independent indicator (signal) which takes values from -4 to 4. The allocation for each country at ...
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### Difference between constraining pre and post optimization

What's the implication of constraining the optimized portfolio weights obtained using no constraints vs obtaining the weights with the constraints in the objective? Let the asset returns be ...
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### Characteristic Portfolio for an Attribute [closed]

Given a vector of attributes(eg.E/P ratios, betas) for N assets $a^T = {a_1,a_2,...,a_N}$ The exposure of portfolio $h_P$ to attribute a is $a = \sum_{n}a_n h_{P,n}$ Proposition: There is a unique ...
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### How to determine incorporated funds from the CFI

I am making a model for the acquisition of financial instruments, and it is sometimes important (for legal or tax reasons) to be able to determine whether an investment fund is incorporated (SICAV or ...
60 views

### What is the return of risky asset in direct utility optimization probem?

I am trying to do this portfolio optimization for a one-month investment between S&P 500 as a risky asset and one risk-free asset: Assume that I have a power utility function, a risk-free rate ...
67 views

### Portfolio optimization of unequal length back-tests

I have a portfolio of assets. For each asset I have a back-tested time series of daily profits. I'm tying to optimize, using the correlation of daily returns, to minimize the total draw-down of the ...
94 views

### Volatility of stocks

I want to build a theoretical Portfolio with markowitz optimization for a course in University. The task is to build a Portfolio with low risk. So i want to do a CPPI strategy. Now the stock part of ...
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### Analyzing stock performance - keep companies after bankruptcy?

I am currently analyzing the performance of stocks with high/low corporate social responsibility rating. Some companies went bankrupt during the observation period and I wonder how long I should keep ...
2k views

### Calculate Returns of Momentum Strategy (Overlapping Portfolios - Jegadeesh and Titman 1993)

I want to implement a Momentum Strategy, followed by Jegadeesh and Titman (1993) with overlapping Portfolios. I want to duplicate their results. Quick Link to the paper (Unfortunately the Method is ...
208 views

### Where can I find the European equivalents ETFs from a USD superdiversified 10 ETFs portfolio

I have been using this superdiversified 10 ETFs portfolio. To lower the risk it's composed from stocks and bonds across the globe and includes some commodities. Being in USD currency and the Euro ...
734 views

### average return Vs cumulative return interpretation

I am looking for the interpretation which distinguishes between average return and cumulative return. I have two portfolios : the average return of portfolio 2 = 3 10E-4 per day while the average ...
952 views

### Portfolio Weights to Maximize Information Ratio (Finding Alphas)

In Finding Alphas, Chapter 1, Introduction to Alpha Design, the authors state: An alpha can be represented as a matrix of securities and positions indexed by time. The value of the matrix ...
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### What is the state of the art in Capital Growth Theory?

I recently read Online Portfolio Selection: A Survey by Li & Hoi. I rarely hear OPS talked about in the quantitative finance community, aside from different types of mean-variance optimization. So ...
343 views

### Portfolio optimisation with conditional weight restrictions among asset

I want to optimise a portfolio of assets from different countries (A,B,C...) where the set of all country-asset combinations is (A1, A2, A3, A4.... B1, B2, B3... C1...). I want to include a ...
1k views

### Dmat argument in solve.QP R function: Cov or 2*Cov?

Background My final objective is to find a portfolio located on the efficient frontier from a choice of 100 stocks from a stock index (eg. S&P500). This efficient portfolio will be such that ...
447 views

### Why did Markowitz not derive an equation for the efficient frontier?

Currently, I´m studying portfolio management and portfolio selection. The founder of the MPT is Harry Markowitz, of course. But reading his famous article from 1952 and his book from 1959 (actually, I ...
248 views

### How to calculate an option porfolio cost and payoff function?

There are call and put options on the same underlying asset, with the same expiry, $T$, and with strikes $K_c=(k_c^1, k_c^2, \ldots, k_c^m)$ and $K_p=(k_p^1, k_p^2, \ldots, k_p^m)$, $S_t$ is a price ...
146 views

### Essential new ideas in portfolio theory

I'm supposed to write an essay on "essential new ideas in my current field of research". Hence, I'm looking for essential (= it has the potential to change the way we look at the discipline) and new (...
103 views

### Including a score or a rank in portfolio-optimization

I have gathered a lot of experience using min-var optimization of the form $$w' \Sigma w \rightarrow Min,$$ where $w$ are the weights of the assets and $\Sigma$ is the covariance matrix. Of course ...
648 views

### Can the net portfolio's beta be different from the sum of long and short betas of the portfolio?

The way I calculate it is summing up the weighted beta of long and shorts but I saw a table where this wasn't the case so I am wondering if this is not the correct way.
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### How to understand quadratic finance or practice of Value-at -Risk(VaR)

We define the following notions for a jointly normally distributed random vector $P=(P_1,...,P_n)$ with f the density function. $$\mu=\int_{-\infty}^{\infty}(x_i-\mu_i)f_i(x_i)dx_i$$ \sigma^2_{ij}=...
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### How to optimize a portfolio under *both* maximum diversity ratio and minimum variance

I have a follow-on question to questions that appeared here and was not sure if the right way was to ask in the comments or post a new question. My question is: how can I optimize a portfolio to suit ...
699 views

### Reduce correlation in output of Minimum Variance Portfolio Optimization

After running a minimum variance portfolio optimization on a universe of ETF's I see the resulting portfolios tend to be composed of bond ETF or related treasuries/government ETFs. I suppose that ...
2k views

### Optimizing a portfolio of ETFs

I am aware of how to do mean-variance or minimum-variance portfolio optimization with constraints like weights must add to 1.0 no short sells max weight in any ticker using basic quadratic ...
2k views

### How to apply risk-parity portfolio construction to a dollar-neutral portfolio?

Long-only risk-parity portfolios have proliferated in recent years. An optimized long-only risk-parity portfolio requires that the asset weight * marginal contribution to risk of the asset is ...