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7h
answered how can we know the residual return will be uncorrelated with the market return
9h
asked Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, …)
1d
comment 2 Ito processes - $d(X_{t} + X^{'}_{t})^2 = (Y_t + Y^{'}_{t})^2 dt$ why it is true?
The last 3 lines are the correct answer to the above - and well explained together with the intro!
2d
revised How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
edited body
2d
awarded  Strunk & White
2d
comment How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
I have changed this just some seconds ago ;)
2d
revised How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
added 4 characters in body
2d
comment 2 Ito processes - $d(X_{t} + X^{'}_{t})^2 = (Y_t + Y^{'}_{t})^2 dt$ why it is true?
where do you have this from? I tried to apply Ito but I don't think that his is true. Where does the factor 2 go? Is this homework?
2d
revised 2 Ito processes - $d(X_{t} + X^{'}_{t})^2 = (Y_t + Y^{'}_{t})^2 dt$ why it is true?
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2d
answered How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
Apr
25
comment Backesting VaR on overlapping intervals to year's end
in your edit: 1) is irrelevant for my question. in 2): I don't think that fixing VaR in Jan and having a breach due to a large loss in December and fixing VaR in July and having a breach of it due to the same loss is independent. This is a problem and I wonder whether anything useful (!) can be done.
Apr
23
awarded  Notable Question
Apr
22
comment Backesting VaR on overlapping intervals to year's end
The question is: can I use all VaR esimates during a year (in the above sense) to asses the quality of my VaR esimate. And no - I think that the usual tests can not (!) be applied because of the overlap ...
Apr
22
revised Backesting VaR on overlapping intervals to year's end
added 287 characters in body
Apr
22
comment Backesting VaR on overlapping intervals to year's end
Please see my edit.
Apr
22
revised Backesting VaR on overlapping intervals to year's end
added 353 characters in body
Apr
22
comment Backesting VaR on overlapping intervals to year's end
Thanks for your answer. The first part is the usual VaR backtesting. The second paragraph is clear. But e.g. if I have a suprising loss of 40% in December then all my VaR esimates from Jan - November will be breached at once ... on the other side in the standard setting I calculate VaR and check on the next periods return, then I loop this. The above can not happen. There is something different
Apr
22
revised Backesting VaR on overlapping intervals to year's end
added 158 characters in body
Apr
22
comment Backesting VaR on overlapping intervals to year's end
No, because the indicator of the event "return from July to December less than x" is not indepenend from the event "return from August to December less than y" ... so I think there is something to be taken care of. Please see my edit.,
Apr
20
comment how asset allocation has changed
Yes ... and badly formatte. I give one hint: Thus the new weights is given by the old weight multiplied by the assets growth divided by the total growth of the portfolio. Your portfolio return is 5% ... thus the 60% become 54.29% in the new portfolio and d is correct.