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How to create a long-short portfolio on an academic basis

My current procedure is that I subtract the monthly portfolio return " top" from my monthly portfolio return "bottom". I then calculate my Sharpe ratio from these monthly returns ...
KaiSqDist's user avatar
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Using the Fama-French 5 factor model in Panel Data

You can run that panel regression you don't have to use industry specific FF5 factors. That would actually make no sense at all (unless you want to dwell into weak factors, which does not seem to be ...
phdstudent's user avatar
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Optimal weights in portfolio after rebalancing

It depends what your optimization problem is. The simplest would be return maximization: $$\max_{w \geq 0} w^\top x \text{ subject to } \mathbf{1}^\top w$$ This is a standard linear program, and the ...
msantama's user avatar
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