Questions tagged [portfolio]

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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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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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45 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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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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58 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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78 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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609 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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257 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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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?