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# Questions tagged [portfolio]

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163 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 ...
117 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 ...
514 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 ...
426 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 ...
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 ...
133 views

### How does a Short position impact the PnL?

I have several activity records which include several transaction types: buy, sell, short, <...
105 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 ...
1k views

### Portfolio optimzation : efficient frontier with respect to risk aversion parameter with R

I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter. The problem I have is that by increasing the risk aversion parameter I think ...
137 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 ...
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 ...
63 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 ...
55 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 ...
1k 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 ...
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 ...
78 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 ...
108 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 ...
590 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 ...
102 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 ...
506 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 ...
843 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 ...
427 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 ...
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 ...
77 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 ...
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 ...
144 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 (...
47 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 ...
823 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 ...
262 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-...
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 ...
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?
81 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 ...