Calculating portfolio risk with

[mkheidzedavid]

Hello all,

I need help.
Im writing a diploma research and Im stuck at one point. So the story is as follows:

I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and calculated the expected return and volatility of the portfolio using the known method.

Now I need to connect the two assets with copula functions which I also did. So the returns are now connected with the Clayton and Gumbell copulas. But Im not sure how to calculate the overall risk of the portfolio and what weights to choose.

Could anyone help?

Thanks a lot

 

[Ken Abbott]

Are you looking to optimize using QP?

 

[mkheidzedavid]

Ultimately yes. I have already constructed the dependence between 2 stock payoffs using copula but Im not sure how to calculate the standard deviation. That's where Im stuck at. I also need to choose the best weights to invest in each stock.

Thanks

 

[Ken Abbott]

You disliked my comment?

Ouch!

I have a paper I wrote 20 years ago on simple QP implementation. It's probably too basic for your needs, but let me know if you want a copy.

 

[mkheidzedavid]

Hi Ken,

I didnt dislike it someone else must have done. Yeah Id appreciate that. thanks