# Questions tagged [portfolio]

A portfolio is a collection of financial instruments. We often collect instruments together to represent the complete holdings of an investor and to analyze the overall risk (which may be lower due to diversification, i.e the portfolio holding multiple instruments).

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### Duration of portfolio equals to zero

I am solving the following problem: Consider a 2000 dollars bond with maturity of 5 years and a half-year coupon of 25 dollars at a nominal interest rate of 8% p.a and a consolidation bond (...
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### Correlation of a portfolio of trading strategies to a benchmark [closed]

I have two trading strategies, both having a correlation of 0.5 to an indicator 'i'. If I take a portfolio of these two strategies, what will be the correlation of this portfolio with the indicator 'i'...
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### Surface plots of the mean-variance efficient frontier

3d surface plots contain an X, Y and Z axis. For the mean-variance efficient frontier: X axis is portfolio volatility ($\sigma_p$) Y axis is portfolio expected return ($\mu_p$) any ideas for what ...
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### Tracking a portfolio's annualized return

Sorry for this dumb amateur question, but looking for some help. I’ve created an Excel line chart that tracks a portfolio’s annualized rate of return. For example, a year ago the portfolio had an ...
1k views

### Value-weighted return: which date should the market-capitalization be based on?

I got a short question regarding calculating the value-weighted return of portfolios. Example: The portfolio is constructed based on the value of a certain criteria on date 31.1 (Jan 31st). The ...
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### Why is Portfolio Theory not using the distribution of portfolio returns

Portfolio Theory uses things like Expected Value, Risk, Confidence. I wonder why it's not ...
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### Adjusting volatility while constructing portfolio

I am trying to construct a portfolio based on a macro momentum strategy for backtesting purposes as outlined in https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/A-Half-Century-of-Macro-...
299 views

### Value-weighted Portfolio Confusion

just a very short question regarding value-weighted portfolios. As the results are not as expected I try to cancel out any possible wrong assumptions. I created five portfolios à 100 companies out of ...
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### Show the expected return of the portfolio and how to derive return variance of the long-short portfolio?

Show the expected return of the portfolio and how to derive the return variance of the long-short portfolio? (see picture)
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### Is there a quicker algorithm for calculating 'drifted' portfolio weights? (R, Pandas/NumPy, MATLAB)

'Sup, QuantSX. BLOT (Bottom Line On Top): Is there a nice clean algorithm for rapidly calculating portfolio weight drift? In R, Python or MATLAB - I'm not fussed which. Details I'm in the final ...
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### Some interpretation on some plots / statistics

I have been playing with a model just for learning purposes (I don't expect to make any money from the model) but I wanted to get some opinions on what you think are "good" values and some opinions on ...
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### Sharpe Ratio and Sortino Question: Standard practice

For Sharpe ratio calculation, I have seen several variations for the denominator; either the standard deviation of portfolio returns or standard deviation of excess returns. Is there an accepted ...
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### How long a time horizon should be for verifying the effectiveness of an investment strategy?

Question To verify the effectiveness of a certain asset allocation strategy, how long a time horizon should be? Is there any academic paper regarding this topic? Question in more detial I know ...
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### Another variation of the 'Sharpe ratio' in CVaR-based portfolio optimization?

Question What is the ratio S(p) shown below? Do we have a name for it like 'Sharpe ratio'? The ratio above is introduced in the academic paper Optimal portfolio selection in a Value-at-Risk framework ...
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### Portfolio Delta - long call, long put and short call

First and foremost, I'm trying to understand why you would construct a portfolio made up of long calls, long puts and short calls. I find this really abstract and confusing. I've tried drawing the pay-...