# Questions tagged [portfolio]

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### Create Random Portfolio Loop [closed]

I have semi annuals returns for 303 different stocks. What I want to do in R is create a portfolio of 1, then 1-2, 1-2-3 etc. untill 100 securities is reached. Now the problem is that whenever a ...
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### Calculation of the risk free rate

For portfolio management I need the risk-free to compute the sharpe ratio. I would like the use to rate on the 3 month treasury bill from the US. https://fred.stlouisfed.org/series/TB3MS#0 The ...
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### 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: ...
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### Portfolio Management in R

I’ve been looking around for a R-package that will allow me to track my stock portfolio - basically I would like to enter stocks that I own, track the trades I make, calculate my open position & ...
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### Measuring returns

always come across the issue of which return to use. There a three types that I know about. The simple return, the log return and the geometric return. Now I wonder whether it depends on the subject ...
44 views

I downloaded adjusted closing price using quantmod for a set of securities. I want to calculate daily/weekly/monthly return for all securities. Usual dailyReturn, weeklyReturn etc not working. What do ...
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### Portfolio return with changing assets over time

I need some feedback on a very basic question regarding the calculation of the portfolio return. I have created an example of a portfolio with two assets and attempted to calculate the return: I've ...
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### Value of portfolio with fixed discrete dividends

I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio. Suppose that we have a two period binomial tree of a stock with initial ...
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### Leverage constraints

I am trying to complete my project on Mean-Variance Leverage Optimization, and I have found lots of helpful advice on this forum. I wanted to ask you if you have some idea on how to implement a ...
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### Discounted self-financing portfolio still a self-financing portfolio?

Assume a self-financing portfolio $V_{t}=\theta_{t}^{0}S_{t}^{0}+\theta_{t}S_{t}$ with $S_{t}^{0}$ the value of the non-risky asset at time $t$ and $\theta_{t}^{0}$ the amount of shares of the non-...
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### Widely accepted methods for coming up with the co-variance matrix of assets?

Question What are the widely accepted ways for coming up with co-variance matrix of assets after the Markowitz's modern portfolio theory? Question explained in more detail After Modern portfolio ...
2k views

### How to compute simple and log portfolio returns?

I am looking for more details to perform simple and log returns for an entire portfolio. However, I've only been able to find the following semi-reliable source (see Page 9 and Page 19): Here are my ...
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### What is the delta of a portfolio invested in different stocks?

I understand that if I have a portfolio invested in stock A and options on stock A, the delta of my portfolio is going to be the weighted sum of the delta of the stock (=1) and of the option. Now if ...
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### Calculating Correlation of Two portfolios?

So I'd like some help w/ this question. Given 3 assets with means, variances, and correlation: Two portfolios are created (A and B), each with the three assets above with weights ($w_n$) as follows: ...
13 views

### Help understanding methodology of doing market expectations error analysis

I am a beginner in the value-growth analysis. I wanted to do a similar analysis Piotroski, J. D., & So, E. C. (2012). Identifying expectation errors in value/glamour strategies: A fundamental ...
107 views

### How to calculate optimal portfolio using sector constraints in python

I'm looking into CVXPY at the moment. Main goal would be to be able to calculate the optimal portfolio, which in my opinion would mean that we need to maximise (expected return - risk free) / ...
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### Do cash accounts contribute to exposure?

When calculating a portfolios total exposure, should the value of the cash accounts be included? My high level view on exposure is that it should be related to the possibility of loss, usually as a ...
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### Correlations between different baskets of assets

Struggling to see the answer to the following problem - Assume you have $N$ different assets, and all pair-correlation coefficients $\rho_{ij}$ between them are known. If you now form two arithmetic ...
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### Why no median-CVaR optimization for portfolios?

Question Since CVaR is a concept that can be applied to all probability distribution, even if they do not follow normal distribution, I thought CVaR should be more concerned with median, not the ...
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### Constructing Portfolio Beta

Suppose I have a portfolio with securities with different history. Say some securities have 15-20 years of history and some are like Uber or Lyft, which has limited history. There are assets with 1/2/...
744 views

### Portfolio Weight Sum and Negative Weights

I'm calculating the weights of 10 securities in a portfolio for a course project, with the objective of maximizing the sharpe ratio. I'm getting both positive and negative results for weights. The ...
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### 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(...
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### Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

I am trying to determine a step-by-step algorithm for calculating a portfolio's VaR using monte carlo simulations. It seems to me that the literature for this is extraordinarily opaque for something ...
613 views

### Incremental VaR formula

According to a few resources online the formula of iVaR is : VaR (after adding the new element) - VaR (before) My question is how can this be correct given the lack of subadditivity of VaR? Meaning, ...
1k views

### How to calculate “portfolio cumulative return” from individual price data and weight of them?

I'm trying to run backtest in a vectorized way using Python Pandas and need to calculate a portfolio cumulative return from price data and weight of asset data. I ...