Questions tagged [portfolio]
The portfolio tag has no usage guidance.
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57 views
Is optimising for the Final Wealth is the same as optimising log of growth rate in Kelly Criterion?
A direct, brute force approach could be used to find the Optimal Portfolio.
Consider simple play. There's a biased coin with 55% probability of win. The simulator play as a single person with 100$ ...
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24 views
What is the appropriate breakpoints for portfolio sorting (using CRSP stocks) based on size?
I want to sort stocks based on size. I use CRSP database from 1962 to 2018. My question is that in order to create quintiles, what is the appropriate breakpoints? and how can I calculate them?
I saw ...
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41 views
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 ...
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38 views
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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34 views
Eliminating factor risk?
Suppose there are two risky assets, related to the same risk factor $f$.
$r_1 = μ_1 + β_1f$
$r_2 = μ_2 + β_2f$
There is also a risk free asset available at $r_f$
How do you eliminate factor risk ...
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47 views
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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46 views
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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15 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 ...
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1answer
61 views
Calculate return for a set of securities downloaded using quantmod
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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86 views
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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624 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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47 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 ...
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264 views
Mean-Variance Optimization Techniques with Multiple Asset Classes
Why does it make sense to use single-period Markowitz mean-variance optimization techniques when we're trying to figure out asset allocation across multiple asset classes (bonds, stocks, REITs, etc)?
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37 views
Differences Between Portfolio Daily Average Returns
I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return.
In the first one,...
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1answer
126 views
In a FX options book, is the sum of P&L equal to the portfolio value?
For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
