# All Questions

856 views

### hedging two bonds in different currencies with FX forward

Is there a way to make a hedged portfolio using two bonds, one is in EUR, the other one is in USD and FX forward contract? Assume that FX rate follows geometric Brownian motion movement.
440 views

### How to do performance attribution for a few characteristics?

Let's say the characteristics that I am interested in are FX Country Security selection I have the benchmark weights and returns, the FX returns, and the portfolio weights and returns. Can ...
800 views

### Should I use GARCH volatility or standard deviation in cross-sectional regression?

I want to do a cross-sectional study where the historical, medium-long run volatility of some return series (call it $R_t$) is included as a regressor. Which of the following two estimates of ...
3k views

### Interpretation of Macaulay Duration

I am having a difficulty conceptualizing the meaning of "Macaulay duration" - I want to note I completely understand the math, this isn't the issue. Modified duration & Efficitive Duration make ...
201 views

### Model-implied yield spread on corporate bonds

While using Merton (or any other) model, is the model-implied yield spread on bonds greater than actual yield spread? And is it possible to estimate actual probablities of default?
1k views

148 views

### Question on OptionMetrics: when are adjustments for discrete dividends needed?

Bakshi et. al. (1997) analyzes the empirical performance of some alternative option pricing models. I am interested to do this as well - hence applying different models - but I am unsure how to handle ...
472 views

### Calculating portfolio VaR for (custom) leveraged products

I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything ...
1k views

### portfolio optimization from empirical return distributions

I'd like to do a portfolio optimization of a set of ETF's but want to avoid traditional problems with normality assumptions in returns etc. Are there techniques that let me sample 'draws' from the ...