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 Yearling
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  • 19 votes cast
Jul
2
comment volatility factor
The volatility factor would change with the portfolio in this case. There is a more extensive methodology followed in the paper with sorting assets into quintiles and then constructing value weighted portfolios. Can you elaborate on that.
Jul
2
answered Fractals indicator (Bill Williams) R Quantstrat
Jul
1
revised volatility factor
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Jul
1
asked volatility factor
Jun
21
comment Derivation of HJB equation
You need integrability conditions on $v^{'}$. It must be adaptable and belong to ${{\cal L}^2}$ then you have an Ito integral whose expectation must be zero.
Jun
21
answered VaR calculation accuracy/comparison/effectiveness through different R packages
Jun
4
awarded  Yearling
Apr
1
answered Semi-variance/Downside Risk, what about the rest of the covariance matrix?
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
Seems like marketing material to me. Have you read it?
Apr
1
answered Please give a step-by-step explanation on how to build a factor model
Mar
24
answered The use of GARCH
Mar
24
revised What is the fair price of this option?
added 2 characters in body
Mar
24
revised What is the fair price of this option?
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Mar
24
answered What is the fair price of this option?
Mar
22
comment Expected Shortfall and Spectral Risk Measure
I don't understand why you have the word spectral risk measure in the title ?
Mar
22
answered Why is the LIBOR-market model free of arbitrage?
Mar
22
awarded  Curious
Mar
21
answered Why the Black-Scholes formula can be used in the real world?
Mar
20
asked modeling regime switching for Correlation matrix
Jan
18
comment Parametric/Analytical VaR
This is fine for t but not skew-t where location is not the same as mean