David, thanks for the video! Just one quick question: is the calculated portfolio volatility a realized volatility or is it an expected volatility in case I decide to invest in the portfolio? If I want to calculate the realized portfolio volatility, could I just sum the weighted returns and take their volatility?
@delyanganev Thanks. There is no "expected" volatility here; historical volatility produces, at best an estimate of the current volatility, which in a sense does not expect. Other methods can try to forecast. Yes, you can weight the returns and take the volatility of the weighted series; however, you should get the same result as above, ie, volatility = w1^2*vol1^2+w2*vol2^2+2*w1*w2*cov(1,2). I hope that helps
David, thanks for the video! Just one quick question: is the calculated portfolio volatility a realized volatility or is it an expected volatility in case I decide to invest in the portfolio? If I want to calculate the realized portfolio volatility, could I just sum the weighted returns and take their volatility?
delyanganev 2 weeks ago
@delyanganev Thanks. There is no "expected" volatility here; historical volatility produces, at best an estimate of the current volatility, which in a sense does not expect. Other methods can try to forecast. Yes, you can weight the returns and take the volatility of the weighted series; however, you should get the same result as above, ie, volatility = w1^2*vol1^2+w2*vol2^2+2*w1*w2*cov(1,2). I hope that helps
bionicturtledotcom 1 week ago
wonderful
ajayjeev 2 months ago
Excellent.... :) Superb... :)
AnkitMichael 5 months ago
Jesus christ, 48 hours of hopeless studying. 1 hour with this video, and now i understand the shit
Learncountriescom 9 months ago
thanks that was helpful
MRahmosa 9 months ago
Thank you for this useful study.
Master of science Uğur Ejder.
ugurejder 1 year ago
thx. ur the best
costas020287 2 years ago