Questions tagged [weights]
The weights tag has no usage guidance.
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Why stock beta is not equal to its index weight?
Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
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portfolio weights based on past returns
In the academic paper Industries and Stock Return Reversals by Hameed and Mian (JFQA,2015) (see picture below), the authors describe a trading strategy based on reversal, which essentially buys past ...
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How to Normalize Weights When Weights don't sum to 100%
I'm working on a take-home assignment for a company. They want me to calculate the return of a portfolio of securities over time, given the returns of the securities over time and the initial ...
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Calculating variance of long/short portfolio
Say I have a portfolio of stocks, stock A, stock B and stock C, with the below positions:
stock A: long 100 USD
stock B: long 50 USD
stock C: short 200 USD
How do I calculate the portfolio variance ...
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Extend basket analytic solution (equal weighted) to a various weight basket, also put formula
So I coded up the solution from here: Do basket options have a closed form valuation formula?
Which provides a good solution for equally-weighted underlyings under a Black model. The simplified ...
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FX weights and P&L
How to correctly express basket of currencies in and index, such that P&L would align?
Assume our index is 20% EURUSD and 80% GBPUSD and rates are 1.10 and 1.31 for T1 and 1.05 and 1.35 for T2. On ...
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How to compute portfolio weight of forward contract
how would one formally calculate the portfolio weight of a Forward position?
Suppose I have 100 mio portfolio. I have 50mio in Tesla shares and I have 50mio in Microsoft shares, and I enter into a 1 ...
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