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Nov
28
revised Is there a python code for estimating the parameters of geometric brownian motion?
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Nov
28
comment Is there a python code for estimating the parameters of geometric brownian motion?
What do you do with the sample paths? If you want to study path properties then maybe you study $P$ the physical measure. see my edit.
Nov
28
comment Error using ghyp-distribution function
I'm voting to close this question as off-topic because see comment.
Nov
28
comment Error using ghyp-distribution function
this fits at most to stackoverflow as it is purely a coding question.
Nov
28
answered Is there a python code for estimating the parameters of geometric brownian motion?
Nov
25
awarded  Tumbleweed
Nov
20
comment Seasonality of Securities & Dummy Variable Regression Analysis
This is really unclear and you should use latex ... to make the equations more readable. Code enviromnets for R code could be useful too ...
Nov
19
comment For a Fama-Macbeth regression , How does one predict the returns based on the model?
Please add the formula or at least a reference ... what are the Lambdas?
Nov
18
asked Min-VAR portfolio construction in a universe of dividend stocks - choosing the observation period
Nov
18
revised How to get to this answer on Macauley duration?
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Nov
16
accepted Intuitive explanation of stochastic portfolio theory
Nov
14
comment Intuitive explanation of stochastic portfolio theory
Yes and if I rewrite your expression then we come back to the (stochastic) geometric mean. But it is more straight forward. Thank you.
Nov
13
revised Intuitive explanation of stochastic portfolio theory
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Nov
12
revised Intuitive explanation of stochastic portfolio theory
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Nov
12
answered Intuitive explanation of stochastic portfolio theory
Nov
12
revised Intuitive explanation of stochastic portfolio theory
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Nov
11
comment Intuitive explanation of stochastic portfolio theory
I am sure @MarkJoshi could help us out here ;)
Nov
11
revised Intuitive explanation of stochastic portfolio theory
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Nov
11
revised Intuitive explanation of stochastic portfolio theory
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Nov
11
comment Intuitive explanation of stochastic portfolio theory
No, there should be more to it ... I will do some more research but what they look at is somehing like the average annual return over longer periods which is the geometric mean of the GBM ...