1
vote
1answer
388 views

derivation of formula for portfolio skewness and kurtosis

Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations? For example, the portfolio variance formula is well known and I ...
6
votes
1answer
2k views

What is a self-financing and replicating portfolio?

I try to understand the derivation of the Black-Scholes equation based on the "constructing a replicating portfolio". From mathematical point of view it looks simple. We assume that: Stock prices ...