XRP-based Crypto Investment Portfolio Inspired by Ripple vs SEC Lawsuit
Dr. Pawel Lachowicz
Crypto-market price actions often revolves around the news. Good or bad? It does not matter. However, the recent…
Browsing Tag
portfolio analysis
14 posts
Czekanowski Index-Based Similarity as Alternative Correlation Measure in N-Asset Portfolio Analysis
In quantitative finance we are used to measuring direct linear correlations or non-linear cross-bicorrelations among various time-series. For…
Introduction to Sell-Off Analysis for Crypto Coins: Triggered by Bitcoin?
They say that small fishes buy and sell driven by unstable waters but only big whales make the…
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (1)
The probability of improbable events. The simplicity amongst complexity. The purity in its best form. The ultimate cure…
Applied Portfolio VaR Decomposition. (3) Incremental VaR and Portfolio Revaluation.
In today’s part in the series, we will discuss the concept of Incremental VaR (Value-at-Risk) and its impact…
Applied Portfolio VaR Decomposition. (2) Impact vs Moving Elements.
Calculations of daily Value-at-Risk (VaR) for any $N$-asset portfolio, as we have studied it already in Part 1,…
Applied Portfolio VaR Decomposition. (1) Marginal and Component VaR.
Risk. The only ingredient of life that makes us growing and pushing outside our comfort zones. In finance,…
Asset Allocation for Tangent Portfolio with Risk-Free Asset in Python
Studying a new programming language is an adventurous journey. It takes time in case of Python. Even for…
Roy’s Safety-First Criterion in Portfolio Optimization Problem
The main objective of portfolio selection is the construction of a portfolio that maximises expected return given a…
Preprocessing of Asset Price Series for Portfolio Optimization
Portfolio Optimization is a significant component of Matlab’s Financial Toolbox. It provides us with ready-to-use solution in finding…
Information Ratio and its Relative Strength for Portfolio Managers
The risk and return are the two most significant quantities investigated within the investment performance. We expect the…
Coskewness and Cokurtosis in Finance
Suppose you are responsible for the management of a current company’s portfolio $P$ consisting of $N$ securities (e.g.…
Final Frontier of Efficient Frontier
Have you ever considered why in the risk-return space the efficient frontier takes its shape which resembles some…
2-Asset Portfolio Construction
When you start your journey in the world of finance and money investment, sooner or later, you hit…