Portfolio Volatility

Portfolio Volatility

Abdulla Javeri

30 years: Financial markets trader

In this video, Abdulla outlines the importance of monitoring portfolio volatility risk and the way it is calculated for a two asset portfolio, and a three stock portfolio.

Financial maths

Foundational

In this video, Abdulla outlines the importance of monitoring portfolio volatility risk and the way it is calculated for a two asset portfolio, and a three stock portfolio.

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Portfolio Volatility

5 mins 39 secs

Overview

Volatilities and correlations are not static, they can change, sometimes very suddenly, therefore the risk in a portfolio can change over time, or sometimes very suddenly. It’s a case of constantly monitoring the risks, even perhaps trying to anticipate those changes in advance and making appropriate adjustments.

Key learning objectives:

How can we calculate the volatility of a two asset portfolio?
What is the formula used for a three stock portfolio?
What are the uses of portfolio volatility in risk management?

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Summary

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Expert

Abdulla Javeri

Abdulla Javeri

Abdulla’s career in the financial markets started in 1990 when he entered the trading floor of the London International Financial Futures Exchange, LIFFE, and qualified as a pit trader in equity and equity index options. In 1996, Abdulla became a trainer for regulatory qualifications and then for non-exam courses, primarily covering all major financial products.

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Measures of Central Tendency

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Option Pricing without Black-Scholes Illustration

Option Pricing without Black-Scholes Illustration

05:12

Option Pricing without Black-Scholes

Option Pricing without Black-Scholes

05:08

Introduction to the Monte Carlo Simulation

Introduction to the Monte Carlo Simulation

04:52

The Monte Carlo Simulation in Excel

The Monte Carlo Simulation in Excel

05:09

What are the Limitations of Beta?

What are the Limitations of Beta?

04:13

What is Beta?

05:38

Limitations of Correlation Measurement

Limitations of Correlation Measurement

04:08

Is the Regression Line Appropriate (or Good Fit)?

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04:22

What are the Uses of Beta?

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05:02

Volatility and Option Pricing

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Value at Risk

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What is Linear Regression?

What is Linear Regression?

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What is Correlation?

What is Correlation?

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Measuring Volatility

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04:34

What is Covariance?

What is Covariance?

04:40

What is Volatility?

What is Volatility?

05:42

Exponentially Weighted Moving Averages

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Normal vs Lognormal Distributions

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Lognormal Probability Distributions

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Historic Probability Distributions

Historic Probability Distributions

03:49

Normal Probability Distributions

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04:57

Simple Arithmetic Moving Averages

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04:00

The Basics of Probability Distributions

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04:11

Calculating Real Returns

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04:42

Calculating Continuously Compounded Rates of Returns

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Calculating Discrete Holding Period Returns

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Cumulative Distribution Function

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04:36

Measures of Dispersion

Measures of Dispersion

06:35

Discounted Cash Flow Illustration (Uncertain Cash Flows)

Discounted Cash Flow Illustration (Uncertain Cash Flows)

05:00

Present Value (PV) Calculation (Multiple Cash Flows)

Present Value (PV) Calculation (Multiple Cash Flows)

03:10

What is Time Value of Money?

What is Time Value of Money?

06:08

Simple vs Compound Interest

Simple vs Compound Interest

05:28

Discounted Cash Flow Illustration (Equity)

Discounted Cash Flow Illustration (Equity)

05:23

Present Value Calculations (Bonds)

Present Value Calculations (Bonds)

04:04

Discount Factors (Money Markets)

Discount Factors (Money Markets)

03:46

Discount Factors (Bonds)

Discount Factors (Bonds)

04:19

The Geometric Mean

The Geometric Mean

04:41

The Arithmetic Mean

The Arithmetic Mean

04:16

Interest Rate Basics Exercises

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08:44

Net Present Value (NPV) and Internal Rate of Return (IRR)

Net Present Value (NPV) and Internal Rate of Return (IRR)

05:39

Calculating Accrued Interest on a Bond

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06:13

Calculating Accrued Interest in the Money Markets

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05:27

Present Value Calculations (Money Markets)

Present Value Calculations (Money Markets)

03:55

Interest Rate Basics

Interest Rate Basics

07:58

Derivatives Exchange Membership

Derivatives Exchange Membership

05:22

Clearing Houses

Clearing Houses

05:14

The Put-Call (Options) Parity

The Put-Call (Options) Parity

06:01

Clearing House Initial and Variation Margins

Clearing House Initial and Variation Margins

06:13

Pricing of Futures and Forwards

Pricing of Futures and Forwards

06:23

Introduction to Futures and Forwards

Introduction to Futures and Forwards

05:38

Contract Specifications on Derivatives Exchanges

Contract Specifications on Derivatives Exchanges

07:21

Introduction to Derivatives Exchanges

Introduction to Derivatives Exchanges

03:37

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