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|How to calculate the expected value of a function of a standard brownian motion (Wiener process)|
Testing the validity of a factor model for stock returns
Can you be a little more clear? What do you mean on a time-series basis? From reading this, one is tempted to think that you want to use lagged variables versus snapshot (cross-sectional). But again, the way the question is asked, it sounds like you are wondering if you should assess the model validity for each stock or do the validity check at portfolio level. I think this confusion is why the question is still hanging.
|Distribution of Geometric Brownian Motion|