The possibility that a negative event (such as a loss) will happen.
7
votes
0answers
193 views
performance of historical VaR parameters
An historical VaR measure is parameterized in terms of the confidence level and also number of periods. Specifically, the $\alpha$% T-period VaR is defined as the portfolio loss x in market value over ...
6
votes
0answers
118 views
Optimization procedure for entropy pooling
I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress ...
6
votes
0answers
201 views
Calculating VaR/CVaR on high frequency data and returns
As we converge on the minute time scale and below for our unit time interval, the return distributions tend to be leptokurtotic and more discretized (due to fixed values such as minimum price ...
2
votes
0answers
78 views
Benchmarking risk
Given the portfolio return $R$ and the benchmark return $B$, I want to define a risk indicator, measuring the ability to beat the benchmark ($R>B$), given the downside risk taken; the latter not ...
2
votes
0answers
154 views
Gamma vs. Volatility Risk
Original Question: What is the link between Gamma and the Volatility Risk?
It leads me to ask:
- What is the Volatility Risk definition and what are the good practices to measure it?
Thinking about ...
2
votes
0answers
191 views
Long-term vs short-term strategies \ investing
Suppose most investors have very short investing horizons and use appropriate (for them) strategies, but investor X has a very long horizon. He would like to trade some advantages (early withdrawal ...
1
vote
0answers
98 views
Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?
I was asked to use idiosyncratic volatility as a regressor in a cross-sectional regression upon cross-sectional returns as the dependent variable. Returns can be thought of as the raw log stock return ...
1
vote
0answers
111 views
Modeling asset performance to Bitcoin revenue
I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community.
Question
Is there any model, or research being done that tracks "hashes per second" ...
0
votes
0answers
93 views
¿How does the model from “Noise trader risk in finantial markets” paper work?
I have been struggling in understanding how the author of this paper got to his conclusions. I uploaded an image of a fragment of this paper. The model is a simple 2 agent, a sophisticated investor ...
