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5
votes
1answer
219 views

RMT (Random Matrix Theory) issue with callibrating MP distribution -

I am seeing an issue when callibrating an MP distribution. Assume a log return series for the SP500 with the following dimensions dim(xts.sp500.ret.stocksonly) ==> [1] 1133 478 ...
6
votes
1answer
3k 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 ...
5
votes
4answers
1k views

How can I select the least correlated portfolio of assets?

Can anyone explain the process and the calculations needed to select a portfolio of liquid futures assets with the least correlation? Given a set of returns for a series of assets, how do I select the ...
4
votes
2answers
291 views

Comparing Returns on a Sector Basis

I'd like to compare the returns of a portfolio segregated by groups to the returns of those groups in total. So say for example I have a portfolio with 40% Industrials and 60% Technology, then over ...
12
votes
5answers
1k views

is beta of a portfolio always meaningful?

Consider the following strategies: a stat arb strategy with no overnight exposure, but significant market exposure intraday. a market timing model which is always long or short the market. etc is ...