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seen Jul 22 at 12:29

finance PhD student


Apr
6
comment How to price this option without using BS framework
Two period binomial? If stock goes to H or D, then price of the replicating portfolio is (1 - D) / (H - D).
Jan
31
awarded  Yearling
Jan
14
awarded  Popular Question
Aug
29
awarded  Nice Answer
Jul
31
awarded  Popular Question
Jul
25
awarded  Enlightened
Jul
25
awarded  Nice Answer
Jan
31
awarded  Yearling
Sep
21
awarded  Custodian
May
30
revised How to perform risk factor calculation?
Added subscript i to alpha
May
30
comment How to perform risk factor calculation?
I think all of the theories have zero intercepts (i.e., only one risk-free rate)? Empirically you include the intercept to avoid forcing $\alpha_i = 0$ so that you can test if there is a return not correlated with the risk factors.
Mar
26
awarded  Nice Answer
Mar
7
awarded  Constable
Jan
31
awarded  Yearling
Jan
4
awarded  Nice Answer
Dec
16
awarded  Nice Answer
Nov
30
comment zero-sum active management riddle
(As well, I would guess that the Roll critique of these pricing models is particularly strong in these less-sophisticated markets.)
Nov
30
comment zero-sum active management riddle
@QuantGuy -- Other than the case of value-weighted portfolios and value-weighted market factor (i.e., CAPM), I don't know of a requirement for $\sum_i w_i \alpha_i = 0$ and $\sum_i w_i \beta_i = 1$, where $w_i$ is the value weighting for each portfolio $i$.
Nov
29
comment How to generate a random price series with a specified range and correlation with an actual price?
How? Try AAPL and MSFT. There are about 5000 more.
Nov
28
answered How to generate a random price series with a specified range and correlation with an actual price?