Questions tagged [portfolio-management]
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.
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The use of L2 Regularization in portfolio optimization
In portfolio optimization, the goal is to calibrate the weights of assets in a portfolio according to a stated objective (mean-variance, minimum-variance, risk parity etc.). Often, mean-variance or ...
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Fetching relevant data after portfolio selection [closed]
Context
If the market is not efficient, including other data relevant to the asset would be necessary to make any decisions. Those data would be useful for some machine learning algorithm.
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Fitting intercept in a regression hedging model
If I want to hedge asset A and therefore regress its log returns on one or multiple other assets, then the resulting betas give me portfolio weights with which I can (hopefully) replicate the returns ...
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Help understand how to perform Fama-Macbeth cross-sectional regression
I am reading Asset Pricing by Cochrane. I am struggling to do the Fama-Macbeth cross-sectional regression and I am questioning my understanding of how to do this. I have no problems understanding how ...
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Help Calculating a Portfolio Returns
I'm having issues understanding why these two methods for calculating a portfolios annualized returns aren't matching.
Lets take for example a portfolio comprised of 2 assets.
Now the first way I ...
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Calculate Sharpe Ratio, Annualized Return, and Volatility for Uneven Cashflows and Mixed Asset Classes?
I am working on a portfolio problem and encountered some challenges related to calculating key performance metrics. I would greatly appreciate any guidance on the following:
Say, I started with an ...
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How did the author work this out for CAPM and Utility?
Edit:The book is "Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory" by Adam S Iqbal.
I asked a question relating to these equations a month ago at CAPM and Marginal Utility:...
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How do you calculate the YTM of a multi-currency portfolio?
I would like to know how to calculate the aggregate YTM of a portfolio with bonds of different currencies
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Setup for proving equation 3.4 from Grinold
I'm studying from Grinold's Active Portfolio Management right now, and used the below equation to answer one of the exercises:
.. let us assume that the correlation between the returns of all pairs ...
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Fitting a Copula with GARCH volatility to stock returns
I have the log-returns $r_{n,t}$ for 3 stocks, $n=1,2,3$, and $t=1,..,T=365$ days, and I want to model the expected shortfall given arbitrary positions on those stocks.
I calibrate the GARCH model ...
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Idiosyncratic risk calculation - Advanced Portfolio Management (Giuseppe Paleologo)
I'm struggling with the walkthrough of a calculation within this text. For anyone with the book it's an example from section 3.4.2. I will go through the steps here and show where I am getting lost - ...
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Reverse optimization: How to generate the expected portfolio returns given the weights and a series of constraints on those weights?
I have the below function in Python. My objective is to back out the expected returns associated with certain portfolio weights given a series of assumptions.
From this I want to generate the expected ...
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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 ...
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Optimal weights in portfolio after rebalancing
I have a quite simple question but while looking for answers in research papers I couldn't find anything. The question can be summarized as : if you expect a shock on an asset, why don't you rebalance ...
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Constructing a Corporate Bond portfolio?
Is it possible to create a corporate bond portfolio such that its yield is 100bps higher that its benchmark, while still outperforming the benchmark (BBG Corporate bond Index)? I guess my question is ...
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What is Ei in paper "How to Combine a Billion Alphas" by Zura Kakushadze? [closed]
I am reading paper "How to Combine a Billion Alphas" by Zura Kakushadze.
In the paper, it has Ei which are the expected returns for alphas.
It also has Ri hat as follows. I wonder what the ...
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Why should investors be compensated for accepting systematic risk? [closed]
Investors should be compensated for accepting systematic risk, as it cannot be diversified.
Why do the investors need to be compensated for accepting systematic risk? Because no one can avoid it and ...
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Two different ways to optimize ex-ante correlation of a long / short portfolio
Assuming I am making a long/short portfolio of S&P500 stocks and I would like to use the historical correlations to minimize ex-ante portfolio volatility. I can think of two ways of doing this:
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Liquidity Stress Test of Investment fund - Liquidation tracking error
It is my first message on this board, I have hesitated a few days before bothering you with my struggles, but I've seen a lot of very knowledgeable and patient people here willing to help out.
I ...
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How do you interpret the portfolio DV01?
I am having trouble understanding the active dv01 of a portfolio? If the active dv01 of a portfolio
is -10,000, what does that mean, all else equal? And what are different ways of increasing dv01 of a ...
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How to change the covariance matrix for a parallel-shift of the efficient frontier?
I'm trying to obtain a parallel shift in my efficient frontier based on the Merton 1972-parameters. As i think a picture tells you more than 1000 words here is what i tried:
The setting of my problem ...
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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 ...
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Why do we need the covariance when calculating portfolio VaR?
I was recently learning about value at risk and how to calculate it, and one of the steps was to calculate the covariance of the returns of the securities making up the portofolio.
This makes sense ...
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Definition of Market-Neutral
I'm reading Qian, Hua and Sorensen's Quantitative Equity Portfolio Management and one part in section 2.3.2 (page 44) states that:
"For a long-only portfolio managed against a benchmark, the ...
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Difference between Maximum Drawdown and Largest Individual Drawdown
Bacon in Practical Portfolio Performance Measurement and Attribution distinguishes between the two, specifying that "Maximum drawdown represents the maximum loss an investor can suffer in the ...
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