Questions tagged [portfolio]

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1answer
314 views

Correlation of assets to portfolio of assets

How do you calculate the correlation of an asset to a portfolio, when for all assets in the portfolio you know there: correlation to each other, volatility and weight in portfolio. For example: ...
2
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1answer
112 views

Explaining an Option product: SIX Discount Certificates

So I have the option with the important info above. I am trying to generate a portfolio that represents the option. However I am stuck on the first hurdle as I believe it is a call option as the ...
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1answer
130 views

R PortfolioAnalytics

I am not able to find PortfolioAnalytics package for windows from CRAN. New to R, will greatly appreciate any help how to find and install this package.
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0answers
88 views

Why Do Universal Portfolios Work?

I've been reading up on universal portfolios, but I haven't been able to find an intuitive explanation as to why they have the theoretical guarantees that they do, especially that they track the best ...
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2answers
51 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 ...
2
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1answer
211 views

Portfolio Optmization With Risk Aversion Parameter R

I have this problem in R. $$\max w^Tu- y w^T A w$$ where A is covariance variance matrix, y risk aversion parameter. Is it rigth if I use the function solve.QP multiplying the covariance matrix for ...
2
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0answers
49 views

How to ascertain/establish certainty of a portfolio rebalancing strategy?

I created a portfolio rebalancing strategy, that I am currently paper trading with. It is, primarily, based on mean-reversion principle with a few rules in place, and geared towards cryptocurrencies, ...
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2answers
103 views

% Drawdown on Stock Portfolio to hit Margin Call

Margin requirement is industry standard at 30% of total portfolio (cash + margin loan) e.g. You have 600k in equities purchased with cash and 400k in equities purchased on margin loan. The total ...
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1answer
89 views

Creating riskless portfolio in black scholes

$$\begin{align} d\pi &= \theta dV + dS \\[3pt] & = (\theta \partial V/\partial t + \theta \mu S \partial V/\partial S + \theta S^2 \sigma^2 \partial^2 V/2\partial S^2 +\mu S ) dt + (\theta \...
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2answers
96 views

What returns to use?

I have monthly returns of my portfolio... I would like to summarize the performance over a longer period in one overall figure. Should I use log returns per month then use geometric mean on the log ...
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1answer
87 views

What is `1+ return` called? [closed]

Assuming day 1 my wealth is 1. At day 2 I earned 20%. So the rate of return is 0.2 and the wealth at day 2 is 1.2. At day 3 I earned 50 % again. So the wealth at day 3 is 1.8. I wonder what is the ...
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1answer
253 views

Creating a portfolio in R : good practices

I am quite new to quantfin, but wanting to learn. I've searched for the answer (google and stackex), but haven't found anything satisfactory (but I might not be asking the correct questions...) The ...
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1answer
297 views

Simple mean reversion strategy portfolio construction

I had a quick idea I wanted to test, but am not sure of the correct way to size bets. Basically, I think that for a given index (say S&P), I want to be long under performers and short over ...
3
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1answer
852 views

How to choose a tangency portfolio without a risk-free rate

How do you choose an optimal portfolio from the efficient frontier if no risk-free rate is given? I know that if there exists risk-free asset, then you would combine a portfolio from the efficient ...
2
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2answers
331 views

Gamma portfolio trading

It is being said that in a long-gamma portfolio, you follow a buy-low sell-high strategy for the underlying stock, which causes you to make profit. The Theta for this portfolio is negative. But it is ...
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2answers
161 views

Standard deviation of a long-short portfolio with net position zero

I've come across the following question and I'm slightly stuck in answering it: Suppose you have a two-stock portfolio that is long one stock of asset A, and short one stock of asset B, with A ...
2
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3answers
368 views

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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1answer
58 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 ...
1
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1answer
45 views

What price data should I used when making minimum mean variance portfolio, optimal risky portfolio and efficient frontier using Markowitz? [closed]

I need to make optimal risky portfolio, minimum variance portfolio and efficient frontier using Markowitz . But i don't know whether to used close price data or adjusted data. If i'm using adjusted ...
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2answers
2k views

Portfolio Risk Decomposition - different methodologies

I understand that there are several methods for decomposing contributions to risk (be it variance, std dev, etc.) in a portfolio of assets. For example, a response in this post indicates that there ...
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1answer
477 views

How to construct stock portfolios in R

I need some help, since I can't find any good sources. I need the portfolios for my thesis. I have 20 years of monthly stock returns for ~200 stocks. I want to create each month 5 equally weighted ...
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0answers
154 views

Parametric VaR of a portfolio of a stock and an option on that stock

I understand how to calculate the parametric VaR of a stock and an option separately. But I don't understand how one can calculate the VaR of a portfolio of a stock and an option on that stock using ...
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1answer
246 views

Create a hedging portfolio

If, given a return stream of unknown composition, what is the best find a portfolio of assets that replicates that return stream from a universe of assets? In other words, what is the best ...
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1answer
83 views

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 ...
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1answer
387 views

How to calculate the annual contribution of a fund to a portfolio of funds?

let's assume I have a portfolio of two funds (call them F1 and F2), where, by convention, there is a monthly compounding of the returns. On a monthly basis, the contribution of each fund will just be ...
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1answer
1k views

How to compute the forward price using a replicating portfolio?

I post this question here as I didn't receive an answer in the Mathematics community. I am trying to understand how replicating portfolios can help us determine fair prices. Suppose we have a 3-year ...
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1answer
94 views

How we compare 2 portfolios one with risk the other with characteristics?

I have 2 questions which i can't seem to find no matter how I search. so: 1) If we have 2 portfolios. One based on risk-return tradeoff (with variables HML, SMB and beta ) (Fama French, 1993) and the ...
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2answers
216 views

Portfolio returns with unequal asset return histories

Using the package PerformanceAnalytics in R, I am trying to calculate the return of an equal-weighted portfolio that contains 30 assets. However, these assets do not have the same starting point in ...
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1answer
441 views

Cumulative portfolio returns vs. product of cumulative asset returns

I wasn't able to find something that addressed this specifically with the search terms I was using, though I am sure an answer exists here. [Please reference the image below] Columns B & C are ...
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2answers
184 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 ...
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1answer
346 views

Python Library To Calculate Porfolio Statistics

I am working through some backtesting ideas and I would love to capture the basic statistics results for comparison, (cumulative returns, annual returns, sharpe, omega etc.) Is there a python library ...
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1answer
60 views

How to keep the ratio of two assets constant when one asset is appreciating towards the other

I am looking for a formula that lets me keep the ratio between two assets in my portfolio constant when one of the assets is appreciating continually in comparison to the other asset. Imagine a ...
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1answer
159 views

VaR Backtesting. High frequency of exceedances

I'm preparing for thesis defense and I've got simple question connected with Value at Risk backtesting. Portfolio VaR was calculated using historical simulation approach (250 days and 500days) and ...
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1answer
97 views

Variance of returns on a portfolio

This must be very basic, but I don't seem to be able to express the variance of returns on a portfolio in terms of variances-covariance sum of returns of its constituents, which seems to be what is ...
2
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1answer
193 views

Portfolio optimization in R with factor tilting while constraining volatility

what optimizer I can use in R to solve the following portfolio optimization problem: $min(f^Tx)$ st: 1. $ -a \le \sum_{i=1} ^{n} x(i) \le b$ 2. $ -c \le x(i) \le d$ 3. $ e \le \sum _{i=1} ^n |x(i)...
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2answers
5k views

Volatility of a multiple-asset portfolio [closed]

I have N assets with their individual volatilities $\sigma_{i,t}$. I construct a portfolio using the weights $w_{i,t}$ that I obtained in a matter that is irrelevant. Now I want to determine the ...
2
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2answers
887 views

Variance Matrix with 'nan' values

I am trying to optimize a simple portfolio using several random weights and choosing the best. When the number of assets is large I get a covariance matrix with 'nan' values because some asset pairs ...
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2answers
239 views

How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc

I have obtained the daily returns of my portfolio $R^{port}_t$ using a certain strategy. Now I want to estimate the realized volatility $\sigma^{port}_t$ using the past 60 days. An obvious way to do ...
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0answers
543 views

Equal Risk Contribution in Portfolio Analytics r pkg

I am trying to estimate the weights of an equal risk portfolio using the PortfolioAnalytics package in r. To start with, I have tried to redo the example provided in the portfolio vignette. The code ...
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1answer
117 views

How does a Short position impact the PnL?

I have several activity records which include several transaction types: buy, sell, short, <...
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1answer
203 views

A portfolio with two risky assets - Simple exercise

I was trying to solve the following exercise: "Stocks A have $\mu_A=8\%$, $\sigma_A=2,5\%$ and stocks B have $\mu_B=6\%$, $\sigma_B=1,2\%$. Let us suppose that expexted returns are independent. What ...
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0answers
46 views

Portfolio returns from activity records

I am looking for a clean and efficient way to obtain the portfolio returns from a list of activity records. Specifically, the activity file consist of BUY, SELL, COVER, SHORT, etc. records with ...
2
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2answers
398 views

Black-Scholes model and arbitrage free price

Consider the Black-Scholes model and the derivative asset: $$ X = \begin{cases} K, \qquad \qquad \qquad \quad S_T\leq A, \\ K+A-S_T, \qquad A\leq S_T < K+A, \\ 0, \qquad \qquad \qquad \quad S_T&...
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2answers
2k views

how to calculate daily risk free rate using 13 week treasury bill

I want to calculate excess return for AAPL plus the S&P 500. I have computed monthly and daily logarithmic returns for every stock and for the market, I now need to calculate the risk free ...
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0answers
107 views

Assigning Constraints to weights

Suppose I have weights ...
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1answer
79 views

Self-financing portfolio under $Q$-dynamics

I know what given stocks $S_1, ..., S_N$ with SDE's, a portfolio must have a particular value dynamics shape (which depends on the dynamics of $S_1,...,S_N$), if that portfolio is to be self-financing....
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1answer
99 views

Should price impact be the same for positive/negative implied volatility shocks?

I am using a vendor system to stress a portfolio which contains (among others) derivatives with implied volatility exposure. The issue is that when using a 1000 bps implied volatility stress upwards ...
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1answer
984 views

How to compute the variance of a Long-Short Equity Portfolio?

I am calculating the historical portfolio variance of various long-short equity portfolios. For simplicity, assume the portfolio is long stock A with weight 1.0 and short stock B with weight -0.5. ...
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0answers
330 views

Forecasting volatility with rugarch and Covariance Matrix

I am trying to do a financial time series forecast in order to build a portfolio. I already have some code running rugarch library and I am not sure if I am forecasting correctly, after that I would ...
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1answer
826 views

optimal portfolio with different lending and borrowing rates

I have 4 risky securities (have returns and var-cov matrix for monthly data), and I can lend at 1% per annum, but borrow at 5% per annum. If i wish to obtain the s.d. of 5%, what is the optimal ...