I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...
Is there any r code for performing Mean Variance spanning test. This test is used to check if the return from K+N assets are significantly different from K benchmark assets return. Huberman and Kandel ...
I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation
Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the ...
What is the importance behind an efficient frontier to be a straight line in the standard deviation-mean plane for Mean-Variance Portfolio Selection?
I'm currently working on a research project regarding Continuous-Time Mean-Variance Portfolio Selection problem. I got curious on why is it important for the efficient frontier to be a straight line ...