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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.
May
6
comment Given a correlation martrix, calculate portfolio's correlation with its assets
@user12348 That's pretty much the opposite of what I was saying. My way works. I was saying that if you change the covariance matrix from $3 \times 3$ to $4 \times 4$, then the matrix math I suggest doesn't work anyway. Regardless, it wouldn't make sense to do my way after you've already estimated the covariances between the portfolio and the assets. You're practically to the correlation matrix at that point.
May
6
comment Given a correlation martrix, calculate portfolio's correlation with its assets
@user 12348 I said the covariance matrix is of the assets. It would still be $3 \times 3$ in your case. Further, $W$ in your case is $3 \times 4$. Its transpose could not multiply into a $4 \times 4$ matrix anyway.
May
6
comment Calculating Variance Explained from PCA Loadings
The algorithms usually give it to you as one of the outputs.
May
5
comment Why is the Drawdown measure not used for portfolio optimization?
The convexity issue seems to be resolved here arxiv.org/abs/1404.7493 but I haven't tried this yet.
May
5
comment Partition assets into minimally correlated portfolios
You might want to get more information on the purpose of the OPs question. Principal portfolios beyond the first one will typically have many short positions that may not be useful for many portfolio managers.
May
2
comment Pre- Versus post-2008 Crisis Rates Modeling
Some related information here: quant.stackexchange.com/questions/2982/…
Apr
29
comment Ornstein versus AR(1) for modeling stationary data
Yeah, I think that's an improvement.
Apr
24
comment Ornstein versus AR(1) for modeling stationary data
You're not really addressing the @user7889's point with respect to OU versus AR(1).
Apr
21
comment Estimating Beta from unevenly spaced price history
There's really no proper convention here. There are a lot of different options that might be better in some cases than others. Also, how much effort you put in might depend on what you're trying to do and what your boss wants.
Apr
18
comment Portfolio optimization with Portfolio CVaR Constraint
I would follow the progression of first getting the minimize CVaR to work, then max return given CVaR, then min variance given CVaR. The problem here is that you're not using Rockafellar & Urysev's approach at all. The weighted average CVaR of individual assets is not the CVaR of the portfolio. This doesn't work for variance, so it wouldn't work for CVaR. Read Rockafellar and Urysev's Optimization of Conditional Value at Risk. Both of the authors have presentations on their websites that explain it better. Check those out.
Apr
17
comment Portfolio optimization with Portfolio CVaR Constraint
That paper comes very close to solving your issue. They show how to constrain the CVaR of a portfolio to an amount while maximizing return. All you have to do is replace the objective with minimizing variance. Alternately, after setting it up that way, you could replace the linearization with Alexander et al's approach in "Minimizing CVaR and VaR for a portfolio of derivatives", though you couldn't use an LP anymore.