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8h
comment Need for Binomial Representation Theorem
Please write the question title without abreviations. Furthermore. I wonder if the question is clear to someone who does not know the book. I would like to help you if you could reformulate the question a bit. But maybe someone else can anyways.
1d
comment R package for portfolio
You could have a closer look at fPortfolio but I don't know whether everything that they promised really works.
1d
comment R package for portfolio
I edited and took into account the comment of John about the package nloptr.
May
18
comment Fractional Brownian motion
Why should $s$ be negative?
May
15
comment Systematic Views in Black-Litterman?
I edited my answer.
May
7
comment How to infer correlation?
Yes, I meant method 2)
May
5
comment How to infer correlation?
Of course you don't know it but by using MC you introduce a sampling error when you can something analytic instead.
May
5
comment How to infer correlation?
if you do MC sample you usually don't have the exact covariance (see e.g. Sampling with exact covaraince). So if you can have the exact covariance - why not use it?
May
5
comment martingale decomposition problem
Is the expectation without the conditioning on $G_t$?
May
5
comment How to infer correlation?
Looks correct to me ... so thus would be approach 2) but with an OLS story behind it.
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
looking at maxddStats it looks as if they use simple MC ...
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
Very complete answer, thank you
Apr
27
comment How to fit a SARIMA + GARCH in R?
Yes, that's one way to go: first fit an Arima model and then fit a GARCH model to the errors. The prediction of the Arima model will not depend on the GARCH error - confidence intervals however will.
Apr
24
comment Empirical distribution function of overlapping time series data
Sorry ... personal communication only.
Apr
23
comment computation involving independent increments
Where on math.stackexchange can we find the answer? The question as posted here must be wrong as in the first line you have an ordinary expectation (thus a real number) on the lhs and a random variable on the rhs.
Apr
22
comment Value-at-Risk of the sum of three independent lognormal random variables with different confidence level
The quantile is different (everything else would be a miracle) but the confidence level is the same, right?
Apr
20
comment Replication of the portfolio in single step binomial model
Do I understand correctly: there is one stock and one time step? You have $k$ price levels. How many are these? 2 ?
Apr
16
comment Calculating Asset Returns
You don't have to explain to me. What I mean is that you question up there is unclear. The chances that someone will take the time to answer it are higher if you formulate it clearly. At the moment it is not clear what you are asking.
Apr
15
comment Calculating Asset Returns
What do you actually ask? How can daily returns be the same if the futures trade on A for 8 hours and on B for 16 ours? You can not annualized returns by the square-root - this holds for volatilities under some assumptions. What is the actual question? Can you make this more clear?
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
It is absolutely usual to call it log-return as far as I know ... it was simply necessary to say what $r_t$ could mean ... please formulate your question clearly in the future.