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4
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3answers
204 views

Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
5
votes
0answers
543 views

Formula for the efficient portfolios (mean-variance optimisation)?

Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$. For a certain fixed ...
2
votes
0answers
145 views

Why is this delta-hedging/P&L example on a variance swap call correct?

I'm looking into this article about var swaps: http://sbossu.com/docs/VarSwaps.pdf and not sure how to correctly interpret Exhibit 2.1.1. "In this example an option trader sold a 1-year call ...
2
votes
0answers
996 views

How to calculate the conditional variance of a time series?

I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated: Fig. 2 shows the conditional variances of the ...
1
vote
0answers
89 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
532 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
27 views

scale alpha forecasts to align with covariance matrix

I have a set of monthly alpha forecasts and my covariance matrix has been annualized. I would like to do a mean variance optimization with a linear tcost penalty term. How do I rescale my alpha ...
0
votes
0answers
77 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 ...