# Tag Info

The proposition is intuitive but the proof of this is not so straight forward in my opinion. The paper Benhamou & Guez (2021), Computation of the marginal contribution of Sharpe ratio and other ...
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Accepted

### Setup for proving equation 3.4 from Grinold

In order to derive the simplified portfolio volatility, there is also an assumption of equal variance $\sigma_i = \sigma$ for all $i$. Assume we have an equally weighted portfolio of $n$ assets with ...
• 4,486
Accepted

### Terminology: "global" in "global minimum-variance portfolio"

I think it's just a common misnomer, on Google Scholar I found a 1980 article by R. Roll: "Orthogonal Portfolio's" but I doubt the term was coined there. I do think I understand why a global ...
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• 3,156
1 vote

### Constructing a Corporate Bond portfolio?

The best thing you should do is to download returns of a corporate bond portfolio, and then create a diversified bond portfolio whose beta against the benchmark is such that it yields an expected ...
• 8,431
1 vote
Accepted

### Why not inequality constraint in mean-variance portfolio optimization?

I'm not sure if I understand your question correctly. I'll try to answer, but you ay want to clarify what you're asking. I'll review portfolio optimization and constraints. Typically, you have a ...
• 12.5k
1 vote

### Calculate minimum variance hedge ratio for foreign-denominated asset hedged to domestic currency

From what I understand about your problem, you are a EUR investor looking to hedge the downside risk of USD depreciating against EUR such that returns earned in a USD ETF are worth less in your ...
• 1,474

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