The expected-return tag has no wiki summary.
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What is the expected return I should use for the momentum strategy in MV optimization framework?
As all research on the momentum strategies are focused on the indicator, i.e. the entry point, there seems not much discussion on its expected return? Though there are some discussions on the exit ...
8
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2answers
155 views
St Petersburg lottery pricing & short investing horizons
I am a statistician (no solid background in finance). Please forward me to a book \ chapter \ paper to resolve the following general question.
Suppose we have a stock with the following monthly return ...
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0answers
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Inferring Returns From Minimal Data Points [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
Suppose I have daily returns for a trading strategy against one month of data. Before starting ...
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3answers
754 views
How to model the daily return using intraday data?
Say, I have hourly returns $r_1,r_2,...,r_T$, where $r_t$ = $ln(p_t)$ - $ln(p_0)$ for $t = 1...T$. So what is the value of $E[r_t]$? Would $r_T$ be the $\prod{(r_t)}$?
Basically $r_t$s are the ...
8
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1answer
798 views
How to apply the Kelly criterion when expected return may be negative?
My concern is how to handle a negative value for the Kelly formula. Even when you have a system that has positive expectancy, you can (and usually will) sustain a number of losses, sometimes ...
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2answers
475 views
How are distributions for tail risk measures estimated in practice?
Let's say you want to calculate a VaR for a portfolio of 1000 stocks. You're really only interested in the left tail, so do you use the whole set of returns to estimate mean, variance, skew, and shape ...
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2answers
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How does left tail risk differ from right tail risk?
How does left tail risk differ from right tail risk? In what context would an analyst use these metrics?
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1answer
526 views
Expected return from a multiple linear regression?
How can I compute the predicted return from a linear regression that includes a number of different terms. For instance, suppose my equation is:
$r_{future} = \alpha + \beta_1 r_{history} + \beta_2 ...
7
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2answers
1k views
How does return-based analysis calculate expected return of a trading system?
Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you ...
11
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3answers
1k views
What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
One of the main problems when trying to apply mean-variance portfolio optimization in practice is its high input sensitivity. As can be seen in (Chopra, 1993) using historical values to estimate ...
