# Tag Info

## New answers tagged risk

0

Let $t$ be the number of days (time periods), and let $p$ be the number of assets. You have $t=1000$ and $p=10000$. For any given dataset, it is assumed that the sample covariance matrix $\mathbf{C}$ accurately represents the population covariance matrix $\boldsymbol{\Sigma}$, however, as $p \rightarrow t$ or if $p > t$ (as in your case), the ...

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I think that your problem can be solves by using another estimator for your covariance matrix. A so called shrinkage estimator leads to covariance matrix that is non-singular. Then a Cholesky decomposition should work (maybe there is even a short-cut in the shrinkage world, I will check alter on). The R package corpcor contains functions to perform ...

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I strongly recommend not assesing risk using the risk neutral measure. Doesn't this already sound like a contradiction (risk and risk-neutral)? The risk neutral measure is there to derive prices (for derivatives e.g.) that fit to the prices of related contracts and traded assets. With "fit" I mean not allowing for arbitrage. For example if I calculate the ...

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It's been quite a while since I did this stuff, but I'll add my input. Please correct me if appropriate. $\{H < T\} = \{ \sup_{0\leq s \leq T} (S_{0} + \sigma B_{s}) > a \} = \{\sup_{0 \leq s \leq T} B_s > \frac{a-S_0}{\sigma}\}$. Set $\mu := \frac{a-S_0}{\sigma}$ and $M_{T} := \sup_{0 \leq s \leq T} B_{s}$. Then, \$P(\{H < T\} = P(\{M_T > ...

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I am not confident that I understand specifically what you are asking, but I hope this helps: What are theoretical approaches to model and answer this question? This question is rather broad. I will say that in comparing a random collection of purchases and sales of securities, with only the time between the transactions as varying among different ...

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