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The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, selection of securities, execution, revision, and evaluation.

4 votes
1 answer
142 views

Sum of two GARCH(1,1) Models

I have two GARCH(1,1) processes ($q=1,2$) $$ \sigma_{q,t} = \gamma_q + \alpha_q \, \sigma^2_{q,t-1} + \beta_q \, \epsilon^2_{q,t-1} $$ that have a constant correlation $\sigma_{12,t} = \rho \, \sigm …
rhaskett's user avatar
  • 1,641
5 votes
1 answer
402 views

Tests for Mean Reversion in a Portfolio Rebalancing

On a single time series one can run a Dickey-Fuller test to determine if the asset is mean reverting or at least has been mean reverting during your sample. Is there a way to test for mean-reversion …
rhaskett's user avatar
  • 1,641
2 votes
Accepted

When to adjust portfolio weights?

vega captures the two most common solutions to this problem. There are some valid criticisms of corridors as well. Because assets are correlated within a portfolio the decision to trade a particular …
rhaskett's user avatar
  • 1,641