Portfoliovalued

Portfoliovalued is a valuation framework in finance designed to determine the value of a portfolio by explicitly modeling interdependencies among holdings and market frictions. It aims to produce a single portfolio value under a defined set of assumptions, rather than a simple sum of stand-alone asset values.

The approach incorporates diversification effects, funding costs, liquidity constraints, and embedded options. It is used for performance measurement, risk management, capital planning, and pricing of complex portfolios.

Calculation combines individual asset values with a portfolio-level adjustment. Common methods include correlation-adjusted linear aggregation and full portfolio pricing via Monte Carlo simulations or risk-neutral valuation. Key inputs are prices or cash flows, weights, volatilities, a correlation structure, and adjustments for funding and transaction costs.

Applications include pricing large or illiquid portfolios, mark-to-market valuation under constraints, scenario analysis, stress testing, and regulatory capital calculations. Portfoliovalued results can differ from net asset value when nonlinearities or frictions are material.

Limitations include dependence on model choices, data quality, and the computational burden of simulating many scenarios. Results are sensitive to input assumptions and may be difficult to standardize across institutions.

See also: net asset value, portfolio theory, risk management, liquidity risk.