Questions tagged [portfolio]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1
vote
1answer
73 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 ...
1
vote
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 ...
1
vote
0answers
79 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 ...
1
vote
1answer
279 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 ...
1
vote
1answer
149 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. ...
1
vote
2answers
928 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: ...
0
votes
2answers
100 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 ...
0
votes
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 ...
0
votes
3answers
2k 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 <...
0
votes
1answer
443 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: ...
0
votes
1answer
76 views

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-...
0
votes
1answer
276 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 ...
0
votes
1answer
168 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 ...
0
votes
2answers
123 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 ...
0
votes
1answer
641 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 ...
0
votes
1answer
473 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 ...
0
votes
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 ...
0
votes
1answer
139 views

How does a Short position impact the PnL?

I have several activity records which include several transaction types: buy, sell, short, <...
0
votes
1answer
106 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 ...
0
votes
2answers
138 views

Right metric to manage a portfolio based on correlation?

I want to algorithmically add a new investment to an existing portfolio. The decision should be based on a low correlation to the existing assets. E. g. the following situation The portfolio already ...
0
votes
1answer
40 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 ...
0
votes
1answer
58 views

Definition Of A Portfolio

I have very recently started studying quantitative finance on my own through a book called An Introduction To Quantitative Finance by Stephen Blythe. In chapter 6 of his book, he sets out to prove ...
0
votes
1answer
65 views

Portfolio return with changing assets over time

I need some feedback on a very basic question regarding the calculation of the portfolio return. I have created an example of a portfolio with two assets and attempted to calculate the return: I've ...
0
votes
1answer
56 views

Correlations between different baskets of assets

Struggling to see the answer to the following problem - Assume you have $N$ different assets, and all pair-correlation coefficients $\rho_{ij}$ between them are known. If you now form two arithmetic ...
0
votes
1answer
2k views

Portfolio Weight Sum and Negative Weights

I'm calculating the weights of 10 securities in a portfolio for a course project, with the objective of maximizing the sharpe ratio. I'm getting both positive and negative results for weights. The ...
0
votes
2answers
2k views

How to calculate “portfolio cumulative return” from individual price data and weight of them?

I'm trying to run backtest in a vectorized way using Python Pandas and need to calculate a portfolio cumulative return from price data and weight of asset data. I ...
0
votes
1answer
82 views

How to calculate the normalized value of a changing stock portfolio?

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...
0
votes
1answer
119 views

Calculating the long run average default rate when the portfolio changes during the year

The Basel rules prescribe to calculate a long run average default rate (LADR). It is stated that his rate should be calculated as the average of yearly default rates. A first idea what be: look at ...
0
votes
1answer
658 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 ...
0
votes
1answer
105 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 ...
0
votes
1answer
541 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 ...
0
votes
1answer
876 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 ...
0
votes
1answer
437 views

Probability default calculation

I want to calculate default of probability of internal ratings for a particular bank. I have only the following data: Liquidity Ratio short-term assets / short-term liabilities = 2.6 Profitability ...
0
votes
1answer
67 views

Do exchanges issue position ID after order execution?

The portfolio has two types of positions: asset and cash positions. Cash positions are easy. One currency has only one position, so you can add and subtract easily. Asset positions seem to be more ...
0
votes
1answer
78 views

Is it possible to calculate the call-put parity for an option's portfolio?

Let's say I have designed an option's portfolio. The portfolio includes long as well as short positions in European-style put and call contracts based on the same underlying asset with different ...
0
votes
1answer
55 views

DJIA Portoflio Optimization

I've been practicing R for about several months, and have begun transitioning from text book examples to what actually interests me. I'm currently participating in the CFA program, but my programming ...
0
votes
1answer
145 views

Essential new ideas in portfolio theory

I'm supposed to write an essay on "essential new ideas in my current field of research". Hence, I'm looking for essential (= it has the potential to change the way we look at the discipline) and new (...
0
votes
1answer
48 views

Signs for the assets in a portfolio and definition of portfolio value

Suppose that we have a market with a stock, modelled by $\{S_t\}_{t>0}$ and a riskless money market account $\{B_t\}_{t>0}$. Consider a strategy $\{ H_t^B,H_t^S\}_{t>0}$ be a portfolio over ...
0
votes
2answers
839 views

Derivation of the tangency / maximum Sharpe ratio portfolio in Markowitz Portfolio Theory? (2 risky assets)

I’m looking for a nice & detailed explanation for how to derive the formula for the weight of asset 1 in the tangency / maximum Sharpe ratio portfolio in Markowitz portfolio theory in a world with ...
0
votes
1answer
270 views

L1 norm regularization of Markowitz portfolio in matlab

Markowitz portfolio with L1 norm regularization added L1 norm regularization based on the original model. The constraint equation is as follows: The following code is the original Markowitz Mean-...
0
votes
1answer
1k views

Matlab code for equally weighted portfolio

I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns. The portfolio needs to be re-balanced ...
0
votes
1answer
46 views

Do I calculate weights of assets correctly?

I solved attached question but I am not sure whether I did part a and c correctly. Is there a way to calculate weights of A and B by just knowing their standard deviation and correlation's value?
0
votes
2answers
82 views

Portfolio return for assets held for different lengths of time

How does one calculate the return on a portfolio if the assets in that portfolio were held for varying periods of time? For Example: $t_0$ Buy AAPL at 100 $t_5$ Buy MSFT at 20 $t_1$$_0$ Sell MSFT at ...
0
votes
1answer
52 views

Portfolio of Assets

The following represents a model for an economy. At time $t=0$, four assets have the value $X_1= £5$, $X_2=£5$, $X_3=£10$ and $X_4=£4$. Three possible states of the world exist ($\alpha_1$, $\...
0
votes
2answers
116 views

I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?

Thanks for opening this question. I have constructed some rules for a portfolio with annual rebalancing and am backtesting it for the period 1990-2014. I want to compare the risk-adjusted return to ...
0
votes
1answer
90 views

Currency Portfolio G10 vs USD allocation

Given that I have fundamental data such as GDP growth rate for G10 countries .Now I want to build a currency pairs portfolio of G10 currencies vs USD .How can I translate country scores to currency ...
0
votes
1answer
309 views

How to get permanently growing chart within PCA

I looked onto different questions and answers about application of PCA on this site and found this interesting article : http://systematicedge.wordpress.com/2013/06/02/principal-component-analysis-in-...
0
votes
1answer
1k views

How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB? [closed]

If I have given vectors for return and volatility (i.e. I have two 1x10 vectors), and I assume at first that their correlation is 0 (meaning my covariance-variance matrix is just diagonal), how do I ...
0
votes
0answers
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 ...
0
votes
0answers
36 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 ...