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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
16
comment Why do we need to use the very old data to predict the new trend in regression modeling in stock?
Which kind of horizon do you want to forecast? If you want to forecast 1 day or 1 week (which is in my opinion impossible) then I am sure you will not need 10 years of data .. please add references and make your question clearer.
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.
Apr
8
comment Why is rate of return on the stock normally distributed under GBM?
Your comment gives additional input. One could say so many things ... I will add one more comment..
Apr
7
comment Why is rate of return on the stock normally distributed under GBM?
I edited the question a bit to make it clearer - I hope, I got it right.
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
John you are strict ;) but right too. Whenever I use papers in an answer then I try to find links too ... to have a complete answer ... that's my standard, but I accepted pbr142's answer anyways as I think that it is very complete already.
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
Thanks for your great answer. I have to decide between yours and pbr142's. Somehow I think that the latter is slightly more complete. Thanks again!
Apr
6
comment Please give a step-by-step explanation on how to build a factor model
Very nice answer! Do you have a couple of links at hand too? For the most important papers that you refer to? This would make the answer 100% complete ... thanks for your efforts!
Apr
1
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Do you have a link to what you are reading about DCC GARCH at the moment?
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
I have edited the question a bit. I you have done it or know how to do it - could you briefly explain the necessary steps? thanks!
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
I have edited the question a bit. I you have done it or know how to do it - could you briefly explain the necessary steps? thanks!
Mar
20
comment Alternatives to CDSs for default term structure?
am I the only one who does not understand the title ? ;)
Mar
20
comment How do I find the Sharpe Ratio?
Please use latex and explain the difference between $m$ and $m_p$ and if you have assets $x_0$ and $x_1$ (prices? returns?) how does $R_p$ relate to that?
Mar
13
comment What are pros and cons of mean absolute deviation portfolio optimization?
Please don't post any Google searches - we all can do them ... don't you have links to papers that you have read and that you found interesting?
Mar
12
comment MLE estimate of normal distribution
Why don't you post here: stats.stackexchange.com This is a statistics question.
Mar
12
comment What are pros and cons of mean absolute deviation portfolio optimization?
Thanks for the comment, could you provide links to the papers too? Thanks!
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
An application of Bayesian statistics sounds interesting. Do you mean anything beyond shrinkage (which could be seen as Bayesian)? Do you know a shrinkage estimator in the context of MAD?
Mar
11
comment What are pros and cons of mean absolute deviation portfolio optimization?
Hehe.. That's right :)
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
quant.stackexchange.com/questions/16923/…