reset.py

Created on November 21, 2024
1.14 KB
sharpe ratio as a function of weights:
  up = w'u
  up-Rf/op 
--> w'u-Rf/sqrt(w'sigmaw)

A mean-variance efficient portfolio 
maximizes a quadratic utility function.

The two-fund separation theorem 
states that the mean-variance 
efficient portfolio for
the risk aversion γ is given by

w= (umrr/yo^2mrr)*wmrr+ (1-umrr/yo^2mrr)*wgmv

wMRR is the maximum return-to-risk (MRR) portfolio, and wGMV is the global 
minimum
variance portfolio. μMRR and σMRR
2 are the expected return and the variance of the MRR
portfolio.

Explain how a value factor can be calculated from individual stocks
1) Calcul du ratio book-to-market (B/M) 
2) Stocks are first sorted on their book-
to-market ratio
3 ) Formation des portefeuilles (long or short based on value or growth)
4)Les portefeuilles sont maintenus pour une période donnée


Momentum effect : 
The momentum effect refers to the continuation of past returns: past winners tend to
outperform past losers when they are held for a period of similar length as the ranking
period. The ranking period must be from 3 to 12 months, the most frequent choice
being 12 months for the ranking and the holding periods.