# Questions tagged [portfolio]

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### Calculate the historical simulation VaR of the portfolio using Python

Assume that we have 200 stocks in WeiBo (WB), 300 stocks in Netflix (NFLX), 250 stocks in Ford Motor Company (F) and 150 in Royal Dutch Shell (RDS-A) as of 31 August 2019 in the portfolio. I have ...
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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 ...
43 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 ...
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 ...
13 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 ...
58 views

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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### 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 ...
242 views

### Standard deviation of a long-short portfolio with net position zero

I've come across the following question and I'm slightly stuck in answering it: Suppose you have a two-stock portfolio that is long one stock of asset A, and short one stock of asset B, with A ...
173 views

### VaR Backtesting. High frequency of exceedances

I'm preparing for thesis defense and I've got simple question connected with Value at Risk backtesting. Portfolio VaR was calculated using historical simulation approach (250 days and 500days) and ...
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 ...
216 views

### A portfolio with two risky assets - Simple exercise

I was trying to solve the following exercise: "Stocks A have $\mu_A=8\%$, $\sigma_A=2,5\%$ and stocks B have $\mu_B=6\%$, $\sigma_B=1,2\%$. Let us suppose that expexted returns are independent. What ...
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### 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 ...
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)? ...
229 views

### How to get the average monthly percent excess returns for portfolios formed?

I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to ...
467 views

### Comparing Portfolio Volatility with Index Volatility seems a wrong method?

thanks for looking into this question. I am comparing an investment strategy against the S&P 500 for a financial article I'm writing. I compute volatility of the Portfolio in this way, as the ...
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### I have volatility of a portfolio in year 1 and in year 2. How do I calculate the volatility over the total 2-year period?

thanks for looking into this question. See the picture below (better is right-mousebutton - open in new tab). I also have the price and return data of the Stocks if that's needed to calculate the ...
139 views

### Portfolio turnover [closed]

Really easy question, but I am having doubts. If you want annual turnover, and you have monthly weights, wouldn't you just do in excel: {=ABS(CurrentMonthsWeights-LastMonthsWeights)*12} for each ...
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,...
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?
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### Volatility of a multiple-asset portfolio [closed]

I have N assets with their individual volatilities $\sigma_{i,t}$. I construct a portfolio using the weights $w_{i,t}$ that I obtained in a matter that is irrelevant. Now I want to determine the ...
### What does $\phi^{(n)}(t)$ mean for a portfolio?
I am currently in the process of deciphering the notes written by an instructor. I missed the class. He writes: Continuous time trading: $S(T) = W(T)$, "Bachelier Model". $\phi(t)$ denotes ...