# Questions tagged [weights]

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### Asset rate (elasticities ?) of substitution

I'm kind of a newbie in the finance research area. However, I'm working on cross-asset spillovers (transmission of shocks between assets) and my guess is that it comes from investors behaviors. ...
• 23
239 views

### When optimizing a portfolio for risk parity, can any portfolio weights turn negative?

As the title reads, when performing risk parity optimization (equal risk contribution amongst all assets to the portfolio volatility), is it possible for weights to turn negative? I understand that in ...
• 1,474
28 views

### How to weight a label by two parameters?

I'm doing some labelling of time-series in preparation for ML. However I'm not sure what approach I should use if I want to weight a label by two parameters ? To keep it simple, let's say my label is <...
• 113
65 views

### Problem with finding the efficient capital market line formula, getting negative variance

So my goal is to write the Capital Market line formula considering this data: \$\[ \begin{array}{|c|c|c|} \hline \text{Stock 1} & \text{Stock 2} & \text{Probability} \\ \hline -15\% &...
1 vote
284 views

### 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 ...
• 117
59 views

### 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 ...
364 views

### 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 ...
1 vote
702 views

### 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 ...
• 11
1 vote
76 views

### 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 ...
• 137
78 views

### 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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