# All Questions

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### Pricing a piece of asset whose dividend stream following a Markovian matrix

I'm trying to calculate the result of an simple example on page 326-327, in Harrison and Kreps(1978). It's pricing a piece of asset whose dividend stream is a simple Markovian process. Here's my ...
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### Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
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### Call option on a Mutual Fund

I am trying to price a call option on a mutual fund. Given the lack of market implied data, I am going to estimate the fund´s expected volatility using as a reference its historical volatility ...
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### Is this a stopping rule? [on hold]

I hold on to a position until there is either: a profit of $X{ e }^{ \sigma } - X$ a loss of $X - X{ e }^{ 2*\sigma }$ is that a valid stopping rule? $X$ is the current price.
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### $\omega' \sum \omega$ is identical [on hold]

1) Suppose there are three assets,x, y, and Z. The covariances of their returns are $\sigma_{x,y}, \sigma_{y,z}, \sigma_{x,z}$ and their variances are $\sigma_{x}^2, \sigma_{y}^2, \sigma_{z}^2$. Show ...
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### How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ...