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Jun
13
comment Controling ex-post volatility by ex-ante limits
What you're doing makes sense. I feel like I've done something similar before in my backtesting, but it seemed more complicated than just a regular constant ex ante limit, which works well enough. The bigger question is if there is an advantage to doing this or not.
Jun
12
comment Intuition behind interest rate models
See Section 3.1.2 symmys.com/sites/default/files/…
Jun
3
comment How do I do a mean variance optimization with constraints?
Before I do an optimization, I try to verify that the objective function, its derivatives, the constraints, and derivatives of constraints are all right. Beyond that, I don't use cvxopt so really can't provide more guidance.
Jun
2
comment How do I do a mean variance optimization with constraints?
Any upper or lower bound can be expressed by $A<b$. Just append an identity matrix to $A$ and whatever the upper bound is to $b$ $n$ times.
May
21
comment After PCA on original factors, how to tell which original factors are dominant?
math.nyu.edu/faculty/avellane/LalouxPCA.pdf
May
20
comment After PCA on original factors, how to tell which original factors are dominant?
It is usually possible to say a how much a particular entry (year in your example) contributed to a particular eigenvector (which I can provide an answer for), but I'm not sure you can do the same across all of them, if that's what you're asking.
May
20
comment After PCA on original factors, how to tell which original factors are dominant?
What do you mean by original factors?
May
20
comment Trend estimation techniques
You might find this informative. papers.ssrn.com/sol3/papers.cfm?abstract_id=2289097
May
19
comment How can I calculate Fama-French betas for a particular stock?
en.wikipedia.org/wiki/Linear_regression
May
19
comment Relationship between Large Cap and Small Cap Volatility
It seems like the explanations on the link @vonjd provided cover the sort of basic explanation (financial crisis). What else are you looking for?
May
14
comment Calculating Bollinger Band Correctly
@Bach I second the recommendation on providing more code (or perhaps a simplified version that can reproduce the plot from scratch).
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
I don't have access to that paper. I suggest you get a copy of it from your library. If you have any questions, your professor is likely to be able to provide better answers on this type of question than this site will.
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
This one (found simply by googling Peter Diamond 1967)? ibe.eller.arizona.edu/docs/2008/Segal/…
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
If you're a student, then you can typically access papers at your library. It's not quite clear to me what you're asking. You might find this informative: papers.ssrn.com/sol3/papers.cfm?abstract_id=146148
May
12
comment How to price long dated options most efficiently?
@MattWolf You may want to add that comment as an answer.
May
7
comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R?
Haven't done any time-varying copula modeling in a while. Maybe post a separate question.
May
7
comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R?
I'm not familiar with the BB terminology. You might have to just write your own.
May
7
comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R?
DCC Copulas for Matlab here, though when I used this it was not set up how I would prefer. mathworks.com/matlabcentral/fileexchange/…
May
7
comment Calculating the VaR from a GARCH(1,1) with Student-t innovations
I get -72473.6 from your results. It's possible you have a data issue. I took the mean of daily log Apple returns from January 1 2002 for 2849 data points and got 0.001272. The mean doesn't impact the VaR calculation much for one day, but if your data is wrong then the VaR calculation will be wrong too. Based on my estimate of the mean and the correct t, he is using a standard deviation of 0.017247. Not really that far from what you have. Could just be a matter of choosing different starting points.
May
7
comment Calculating the VaR from a GARCH(1,1) with Student-t innovations
Do you mind editing the question to include exactly where the question is from on that site? Two preliminary thoughts: 1) it looks like he did the VaR in terms of dollars and you did it in terms of percent, 2) I find it more convenient to think about VaR as a negative number (what you can lose), so I would use a negative t value. This alone is not enough to reconcile the two numbers though.