Questions tagged [portfolio]

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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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1answer
216 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 ...
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2answers
454 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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1answer
144 views

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 ...
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1answer
129 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 ...
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1answer
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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1answer
125 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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2answers
5k views

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 ...
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1answer
71 views

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 ...
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1answer
2k views

How to compute simple and log portfolio returns?

I am looking for more details to perform simple and log returns for an entire portfolio. However, I've only been able to find the following semi-reliable source (see Page 9 and Page 19): Here are my ...