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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 2 hours ago | |
| stats | profile views | 586 |
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Mar 29 |
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Portfolio risk-return when assets have limited and inconsistent historical data / time series? edited body |
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Mar 29 |
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Portfolio risk-return when assets have limited and inconsistent historical data / time series? @phi, I see your point though please consider REITs are much more highly correlated with each other than cash equity over a 5 year horizon. I assume Sid is talking about equity portfolios here but in any case replacement by correlated asset generally only works if correlations are extremely stable which they are not for most all cash equity (I commented on that in my post). Have you looked at correlation stability in REITs? I would be curious if you care to share your findings |
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Mar 29 |
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Portfolio risk-return when assets have limited and inconsistent historical data / time series? added 1780 characters in body |
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Mar 29 |
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Portfolio risk-return when assets have limited and inconsistent historical data / time series? @Sid, sounds less extreme to me than constructing an arbitrary time series that in no way reflects the true risk/return profile of the asset in question. I edited my answer to comment on correlated assets as well |
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Mar 28 |
answered | Portfolio risk-return when assets have limited and inconsistent historical data / time series? |
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Mar 26 |
answered | Does implied vol vary for calls vs puts? |
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Mar 26 |
answered | changes in open interest vs changes in underlying volume |
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Mar 23 |
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Black-Scholes and Fundamentals Agree with that notion. |
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Mar 23 |
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Black-Scholes and Fundamentals Generally from a purely empirical standpoint over many different market cycles, there is an inverse relationship in the demand for fixed income instruments and equities. Demand and supply for different asset classes is one thing, the purely technical relationship between yields and bond prices an entirely different. |
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Mar 22 |
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Central Limit Theorem and Lévy processes @quasi, I have never heard about using CLT to prove normality in Levy processes, should it not be the other way around? You start with a Levy process and after finding that it is not Brownian you proceed and through the characteristic function and applying scaling factors can show that CLT still holds. But I am also curious whether more interesting material surfaces by other users such as you. I also like the question, one of the more challenging ones. |
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Mar 21 |
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Central Limit Theorem and Lévy processes @quasi, where does OP make the claim that his Levy process is not a Brownian? I provided a test to check whether its a BM and hence normality can be assumed. Else, I stated that scaling factors have to be applied to still make CLT hold, exactly what you also stated in your answer, and included examples of Levy processes that include jumps. |
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Mar 21 |
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Central Limit Theorem and Lévy processes Simple, I provided the links that show which scaling factors have to be applied and how to make the CLT hold. It is admittedly not a rigorous proof but should point into the right direction. I do not have the time to work on it so I accept my answer may not be chosen but I decided to let it stand as is. |
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Mar 21 |
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Credit risk data check out Markit, one of the biggest providers, they may have sample data sets. Otherwise its hard to impossible to come by free real-time data. markit.com/en/products/data/data.page |
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Mar 21 |
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Central Limit Theorem and Lévy processes deleted 19 characters in body |
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Mar 21 |
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Central Limit Theorem and Lévy processes @AmirYousefi, I edited my answer to also include the case when a Levy process is not a Brownian motion. |
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Mar 21 |
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Central Limit Theorem and Lévy processes added 796 characters in body |
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Mar 20 |
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Mapping symbols between tickers, Reuters RICs and Bloomberg tickers Short answer : no there is not at least not open source. And if you consider the immense cost of maintaining such database (investment banks maintain whole teams to accomplish that : consider name changes , symbol merges, discontinuations...) then I guess that explains why. |
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Mar 20 |
answered | Examples of investable factors via factor funds/ETFs |
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Mar 20 |
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Correlation Sensitivity you only consider vol effects. You also need to consider the much more prevalent relationship between asset price correlations and the signage of such asset price returns. |
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Mar 20 |
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Correlation Sensitivity why would you think S1+S2 will increase with larger p? In fact, empirically S1+S2 should be lower with higher correlations. Correlations generally increase when the market as a whole decreases in value dragging with it S1 and S2. But trying to find some more rigorous backup than just my claim. But keep in mind for a start that such basket options are highly sensitive to 2nd and higher order risks such as volatility skew, cross gamma risks and the like. This may help: opalconsulting.ch/dataa/248de.pdf |
