# All Questions

1answer
117 views

### Why is the GARCH intercept supposed to be strictly positive?

Maybe it's a simple question but I don't really understand why it is theoretically required. Let's take the standard GARCH(1,1) $$\sigma^2_{t+1}=\omega+\alpha\epsilon^2_{t}+\beta\sigma^2_{t}$$ In most ...
1answer
44 views

### What does each bar in the empirical average eigenvalues spectrum of the correlation matrix of log-returns of stocks represent?

An example diagram, taken from this paper, looks like follows: What is its physical interpretation? The highest eigenvalue, the paper says, represents market mode. So, what does the difference in ...
1answer
31 views

### Calculate historical duration based on current duration & historical prices

Suppose I have today current duration of a bond and it's historical daily prices. How from that I can calculate the historical duration? e.g. the value of duration I would saw if yesterday, week ago, ...
0answers
40 views

### Optimal portfolio construction questions [closed]

I am working on a paper that tries to build an optimal portfolio to hedge various risks (mainly interest rate risk). I have never done this before. Which software program should I use to create an ...
1answer
52 views

### Dollar-Neutral in addition to Market-Neutral?

What is the point/benefit of using a dollar-neutral strategy in addition to a Beta-neutral strategy? What exactly does a dollar-neutral strategy buy the investor? What's useful about balancing long ...
1answer
119 views

### Mathematical Derivation of Residual Risk

I understand the difference between Excess, Residual and Active Returns. I also understand what Active Risk; defined as: $\sigma_{r_P-r_B}$ (i.e. standard deviation of the difference in returns ...
0answers
13 views

### How to calculate optimal monthly withdrawals from an investment with compound interest

I have 1.25M dollars. I want to put it in an investment with 60% annual return paid monthly and re-invest the interest to achieve compound interest. After 15 years, my principal would have grown to ...
1answer
50 views

### Volatility for time periods with little data

When I want the monthly volatility of stock and I only have data for about one month and I do calculation like this: ...
2answers
50 views

### NPV of two annuities

For exam preparation we are given some past papers, however there are no solutions and I would like to know if my logic is correct for the following question: Assume you are 25 years old. An ...
0answers
26 views

0answers
24 views

### Yahoo Finance data scraper [duplicate]

I am building a small financial web application and I need a data source for price (Adj. Close) and volume data. I have written a scraper to scrape equity data for yahoo finance and can pass this to ...
0answers
23 views

### Polynomial interpolation of corrected lognormal distribution

Can anyone provide a formula for a polynomial interpolation of the corrected lognormal distribution used to model returns traditionally resulting from the wrong Brownian motion generated model? ...
1answer
74 views

### Calculating the global minimum variance portfolio in R?

I am attempting to use the globalMin.portfolio command to calculate the global minimum variance portfolio in RStudio. My code is as follows (note that several libraries have been included which may ...
1answer
35 views

### How to compute the yield on the Ultra-Bond Treasury Futures

I am trying to compute the yield on the Ultra-Bond Treasury Futures which is roughly 172.2187. Heres the description of the contract: U.S. Treasury bonds with remaining term to maturity of not ...
0answers
34 views

### Minimum Variance Portfolio problem [closed]

Minimum Variance Portfolio Suppose there are N stocks in the investmentable universe and we have a fully invested portfolio investing 100% of the capital. The Covariance matrix is denoted as ∑. We ...
1answer
85 views

### Copulas and default probability

Assume a basket of 3 credits, each with some unconditional default probability ${q_i}(t) = \Pr [{\tau _i} \le t]$. Consider the joint CDF $H$ of the default times is given by \$H(t,t,t) = \Pr [{\tau ...
0answers
30 views

2answers
30 views

### What is a definition of “Benchmark”?

The word "benchmark" is often used in Finance, but in a rather fuzzy manner, there for a rough idea of what it is, and how it is 'defined'. Can someone provide a rigorous and precise definition of ...
0answers
50 views

### Physical interpretation of variance in returns in a portfolio design

I have a downloaded the log-returns at successive times of 98 stocks from S&P index over 753 days. I calculated the total daily return according to the formula 1 below, where ...

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