The variance tag has no wiki summary.
1
vote
0answers
56 views
How to measure if variance is greater at a certain time of day?
I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis.
One market has closed and another market elsewhere on Spaceship Earth is ...
1
vote
0answers
231 views
portfolio optimization with a loop
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
0
votes
0answers
61 views
Mean-variance minimizser
I am working on a project that involves pricing european call options in incomplete markets. Now I need to find a unique measure $Q^*$ such that
$$Q^* = \min_{M_e} E_Q [V(T)-F(w)]^2 = \min_{u} E_Q ...
