Questions tagged [portfolio]

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742 views

derivation of formula for portfolio skewness and kurtosis

Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations? For example, the portfolio variance formula is well known and I ...
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31 views

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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45 views

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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44 views

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/...
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1answer
82 views

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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33 views

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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58 views

Applying portfolio variance weight based on logarithmic returns?

The expected logarithmic return of a portfolio is calculated as : $$𝐸_p = \log\left(\sum_i w_i e^{R_i}\right)$$ Therefore, I was wondering that how can I apply weight to use with the variance based ...
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1answer
74 views

Classifying groups of stocks beyond Market Cap/Industry/Sector

I'm monitoring margin values for a portfolio and I want to classify the stocks in my universe using different metrics/information. Just for the sake of making analysis/inferences on the data I have. ...
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0answers
291 views

Some definitions in the BARRA Predicted Beta model

I'm studying the BARRA Predicted Beta model, and the common factor covariance between portfolio $p$ and the return on the market $m$ is defined as the product of the transposed vector of the factor ...
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83 views

Holding Period Return abnormally high

I've been doing my Dissertation and I was told to create a value - weighted portfolio on the 1979's 200 largest cap corporations (based on Market Value). I was also told that the correct way to build ...
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0answers
58 views

When does funding cost of a portfolio enter into the portfolio's present value?

This question comes from some confusion when reading Hull's book and from the general concept of no-arbitrage/self-financing portfolios in stochastic finance books. I am not fully seeing the ...
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1answer
109 views

Fama Macbeth regression and portfolio sort result contradiction

I ran Fama Macbeth (regression) on two variables called return and lag MAX ( monthly average return and lag of maximum return over a month). the results are like the following : ...
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42 views

Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
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186 views

Is the Market Portfolio on the Markowitz Efficient Frontier?

I have seen "market portfolio" defined online (Wikipedia/Investopedia) as the bundle of all available investments where the assets are each weighted in proportion to their existence in the market. I ...
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1answer
172 views

Return Contribution for Annual Returns

I have a portfolio $p$ made up of a bunch of assets $i$ where the weights change slowly over time. The returns over each period $j$ composed of the weighted returns of the asset $r^j_p$ $$ r^j_p =...
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122 views

Backtest Portfolio Analysis

I actually finished an algorithm that i can use to extract all the trades for each stock (each file for each stock). Essentially, i run this code on Excel where there are the input about one stock, ...
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94 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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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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107 views

Assigning Constraints to weights

Suppose I have weights ...
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341 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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68 views

Stress Test for gamma FX portfolios?

How can I create scenarios to stress gamma FX portfolios? If I shock the underlying for example +/-10%, then I gain in both scenarios. I get to capture some losses if I shock the implied volatility. ...
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1k views

Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
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3k views

Problem with determining weights in tangency portfolio (2 risky assets)

I use the following well known formula in order to determine the weight of asset i in the tangency portfolio (in the case of two risky assets): $w_{i,T}=\frac{\sigma[r_2]^2E[R_1]-\sigma[r_1,r_2]E[R_2]...
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179 views

PnL Explained Using Scenario(Full Reval Model)

I was wondering if any quant guru can help . How to calculate the PnL explained using full reval aka scenario based = > t - (t-1) approach for linear instrument. I am finding difficulty to understand ...
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227 views

How to form Decile Portfolios based on Liquidity measure with missing data in R

I have a dataframe with over 4000 companies data (as column) and have calculted their daily Quoted spread measure ( measures liquidity for each stock) for 15 years. And then from the daily have ...
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93 views

Determining the investment strategy

I have the following problem: Consider the 5 year investment strategy and given the yearly portfolio returns $S_{t+1}/S_t$ and dividends $D_{t+1}$ paid at $t+1$ which are modeled as: $\frac{S_{t+1}}{...
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68 views

How to build a bond model portfolio (Invested in Emerging markets) [closed]

I have to build a model portfolio from the data of a portfolio composed of bonds from Emerging Markets accounted in $ (So exclusively corporate bonds from emerging markets). Do you have any ...
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117 views

Can anyone suggest book about fixed-income portfolio management? [closed]

Can anyone suggest books about fixed-income portfolio management? Thx
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65 views

How to understand stock return comovement

In his book "Asset Pricing" chapter 20, Cochrane said For example, suppose that average returns were higher for stocks whose ticker symbols start later in the alphabet. (Maybe investors search ...
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539 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
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57 views

Investing in all assets with positive expected return and allowing for positive correlation

How does the answer to this question Risk minimization by investing in all assets with positive expected return change if assets can be positively correlated (but not perfectly) and short sales are ...
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0answers
435 views

Tangent portfolio weights without short sales?

Consider a mean-variance investor in a world with a risk-free asset. Let $R_f>0$ be the return of the risk-free asset, $\mathbb{E}(R_i)>R_f$ the expected return of the risky asset $i$ and $SD(...
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1answer
72 views

In theory historical performance of a portfolio

I am looking at the quantitative model our team is using for analyzing the performance of a portfolio of stocks. However I don't understand what the model is trying to achieve. The model is supposed ...
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1answer
168 views

Combine together different strategies in one portfolio [closed]

Hi I have generate equity of my strategies which invest in commodities and currencies at daily interval. What the best method to combine together all strategies in one portfolio? I want to make the ...
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0answers
77 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
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1answer
275 views

Resampled efficient frontier length of simulation

I was provided with a VBA program from my lecturer that applies the resampled efficient frontier. We have an investment horizon $T$ (6 years) and he uses a multivariate normal distribution with ...
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1answer
126 views

Replicating portfolios [closed]

Prices of a stock are modeled using a two-period binomial tree, with each period being six months. The continuously compounded risk free interest rate is 7 % The stock pays 2 % continuous dividend. ...
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2answers
843 views

Under which conditions the minimum variance portfolio involves no short selling?

If $\rho_{12} < 1$ or $\sigma_1 \not= \sigma_2$ then $\sigma_v^2$ representing the variance of the portfolio with weights $(w_1, w_2) = (s, 1-s)$ as a function of $s$ attains its minimum value at: ...
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2answers
97 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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2answers
3k 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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3answers
1k views

How to estimate variance-covariance matrix of assets with different length of historical data? [duplicate]

Consider you have 4 assets A, B, C and D, where Asset <...
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1answer
78 views

What does risk tolerance represent for utility-maximizing optimization with linear constraints?

Referencing Wei Jiao (2003) p. 8, formula (1.12), for $Ax = b$ set of linear constraints in a portfolio, the solution for the optimum weights to maximize the utility is: $$w^* = \Sigma^{-1}A^T \left( ...
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1answer
340 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: ...
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1answer
211 views

beginner portfolio statistics - annualized volatility of multi-asset portfolio

Sorry for the dumb question, but I wanted to make sure my understanding of what I read and compiled was correct! I am trying to calculate the variance-covariance matrix, and annualized volatility of a ...
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1answer
160 views

VaR for Options portfolio

I'm asked to estimate VaR for Options portfolio. Firstly, I wanna try to estimate VaR for AAPL stock european call option using Historical Simulation but I can't find any Historical Data. I tried ...
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2answers
107 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
436 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
379 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
128 views

How does a Short position impact the PnL?

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