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You do note require a sum up constraint that gives you that the weights sum up to 1? Then the problem is equivalent to a maximization without constraints: $$Z(\omega)=w'\mu - \frac{\gamma}{2}w'Vw$$ then it holds that $$\frac{dZ}{d\omega}=\mu-\gamma V\omega\overset{!}{=}0\\ \Leftrightarrow \frac{1}{\gamma}\mu=V\omega^*\\ \Leftrightarrow\omega^* = ...


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Have you thought about opening an Interactive Brokers paper trading account? They keep track of the total return, though their reporting can be trickier to use than it should be. It's also a very good simulation of what investment professionals use, since it's what investment professionals use. If you want to teach investment, I believe Equities Lab might ...


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Yes, you can formulate such a view. A lot of ways to formulate views are described in the literature (one can start here). However, your view is based on the assumption that CAPM works precisely for single stocks. This assumption will be wrong in most cases. EDIT after a comment by the OP: I think now I understand. You want to replace expert's views ...


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Option pricing theory and interest rate theory are used within life insurance mathematics. See for example the articles of Thomas Møller: Local risk-minimization with survivor bonds (with L. Henriksen). To appear in Applied Stochastic Models in Business and Industry, 2014. On systematic mortality risk and risk-minimization with survivor swaps (with M. Dahl ...


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The classical connection is the http://en.m.wikipedia.org/wiki/Esscher_transform developed for actuaries in 1932 which essentially transforms the objective probability measure into the risk neutral one used in quant finance.


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Actuarial science traditionally focuses on estimation of joint probabilities using real data where math finance is on valuation of contracts under an arbitrary distribution. It means the first one deals with methods of estimation of future distributions (the number of accidents of a given kind, the probability of someone with a given profile to have a ...



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