<r>Hi,I am working on a strategy which uses betas of companies. I realized that some very high beta companies does not selected by my strategy because my own beta calculation gives much lower beta values than the beta values on Reuters or Yahoo Finance. An example is Avis-Budget Group. Using differe...

Hi T4A,Thanks for your comment. I need the weights to calculate the variance of the portfolio. I think in this case taking the absolute values will increase the portfolio variance.

<t>Hi,I am trying to calculate weights for the securities in a portfolio which has a net short position. I don't know the details of the cash etc. in the account, I just know the long and short positions. How can I calculate the weights? An interesting case is also when the total value of the securi...

<r>I am currently trying to create a VAR calculator in C# for our stock portfolio but I am stuck at one point. I successfully calculate the conditional variances using GARCH but when I am trying to calculate the conditional covariance matrix of the portfolio I need to maximize the a likelihood funct...