Introduction To Value At Risk
This article talks about Value at risk and the Delta normal approach, Monte Carlo and Historic simulations approach to obtain the VaR....
Portfolio & Risk Management
From portfolio construction, to analysis, optimization and risk management, learn from market practitioners who share their knowledge and downloadable files for free.
Calculating The Covariance Matrix And Portfolio Variance
In this blog, you will learn how to create a covariance matrix and calculate the standard deviation of a portfolio with ‘n’ stocks...
Optimal Portfolio Construction Using Machine Learning
This article talks about the Stereoscopic Portfolio Optimization (SPO) framework and how it can be used to improve a quantitative trading strategy. Concepts such as Gaussian Mixture Models, K-Means Clustering, and Random Forests have also been reviewed....
Using Linear Discriminant Analysis For Quantitative Portfolio Management
This article is about linear discriminant analysis and how it can be used within quantitative portfolio management....
Modern Portfolio Management Using Capital Asset Pricing And Fama-French Three Factor Model [EPAT PROJECT]
This article introduces you to the theories & techniques in the Portfolio theory and arriving at the “MyPortfolio” model....
Calculating Value At Risk In Excel & Python
This post will take you through the step-by-step process to understand and compute VaR in Excel and Python using Historical Method and Variance-Covariance approach. You can also download the excel and Python codes to calculate the VaR for yourself....
Portfolio Analysis: Performance Measurement And Evaluation
This blog covers various aspects of the portfolio performance evaluation and portfolio performance measurement. It starts with why evaluation and measurement are necessary. Then explains how to compute and analyze the returns generated by the portfolio after a particular time period....
Portfolio Optimization Using Monte Carlo Simulation
Learn to optimize your portfolio in Python using Monte Carlo Simulation. This article explains how to assign random weights to your stocks and calculate annual returns along with standard deviation of your portfolio that will allow you to select a portfolio with maximum Sharpe ratio....
Portfolio Analysis: Calculating Risk and Returns
A step-by-step process that will help you to learn how to compute expected returns and variances for a portfolio having n number of stocks. We will be using the Box method for variance of the portfolio post identifying the covariances and correlation of returns....