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The dividend yield can be computed from the forward prices. However, in practice (e.g., in Bloomberg), the realized dividend yield is computed as the sum of the dividend payments from the whole past year divided by the current equity (stock or index) price, while the implied dividend yield is computed as the sum of the forecast dividend payments, over the ...


It should be related to your specific valuation model. The most common earnings related models use a risk free rate minus 3%.


As a standard reference (in the back of my head) I use for Swedish and U.S. equities, 7% real return assuming no growth rate in FCFE. So if we assume the entity will produce $100m per year in fcfe going forward with no growth rate, then the market value of equity is 100/0.07 = 1729. The 7% comes from 2% risk free rate + 5% risk premium (adjusted for ...


Negative y means you're short the stock. This may have costs, just as being long the stock may have income from lending it to someone else. These costs can easily be incorporated as a growth adjustment to the stock. Since it costs more to borrow than you make from lending, the growth adjustment should depend on whether your overall position is long or ...


Pretty much agree with what everyone is saying above. Just want to add one more comment. The sad truth of not advocating a lot on the usage of ML in Asset Management is the difficulty to marketing it. Most of the pitches on the quant portfolios are trying to make a systematic fundamental (these days called quantamenal) story. ML methods are apparently not ...


There is an article on forexop where maximal curves and a random walk are used to calculate the different probabilities hitting the stop loss, the take profit or being still open. There is also an excel file to download, where the formulas can be found.

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