# Tag Info

Accepted

### Correlation of asset to portfolio, given certain variables

If $\Sigma$ is the covariance matrix of all assets and $w$ is the column vector of weightings of the asset in a certain portfolio. Then $$w^T \Sigma w = VAR$$ is the variance of the portfolio. The ...

### Are there any tools or useful algos for identifying corner portfolios?

7 years ago I had to solve the problem of a efficiency frontier under linear constraints on the asset weights and also stumbled upon Markowitz Critial Line Algorithm. I still have a directory with ...

### Basic question on Portfolio Theory

Of course estimating expected returns is the very core of portfolio management. Finding a useful covariance matrix too. To find both fills a book. So I first thought about closing the question. But it ...
Accepted

### How to compute the variance of a Long-Short Equity Portfolio?

We have weights $w_A$, $w_B$ and $w_C = 1 - w_A - w_B$ that sum to $1$. With de-meaned returns $r_A$, $r_B$, and $r_C$, the portfolio variance is E\{[w_A r_A + w_B r_B + (1 - w_A - w_B)r_C]^2 \} = ...
Accepted

### Widely accepted methods for coming up with the co-variance matrix of assets?

Multivariate volatility models for replacing the sample covariance matrix with in the mean-variance portfolio selection model: RiskMetrics 1996 EWMA (Exponentially weighted moving average) covariance ...
Accepted

### Sharpe Ratio and Sortino Question: Standard practice

Theoretically, Sharpe should be the average of (compounded) excess returns divided by the volatility of the same. It was designed to measure the risk-reward preferring the risk asset to riskless. So ...