Skip to main content

Questions tagged [asset-returns]

The tag has no usage guidance.

23 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
3 votes
0 answers
48 views

Polynomial interpolation of corrected lognormal distribution

Can anyone provide a formula for a polynomial interpolation of the corrected lognormal distribution used to model returns traditionally resulting from the wrong Brownian motion generated model? ...
Jack Maddington's user avatar
3 votes
0 answers
274 views

Marginal Distribution using GARCH model: How to do inverse probability transform?

I have $n$ return series. I fitted AR(1)-GARCH(1,1) to each return series. Then used probability integral transform, PIT(residuals), to transform the residuals to have a uniform distribution. Then I ...
user20333's user avatar
  • 121
2 votes
0 answers
63 views

Is a position-weighted sum of nominal returns for a single asset a mathematically sound calculation?

A friend of mine insists that that the following is a sound method to calculate the performance of a single holding in a portfolio, given that over time more capital has been allocated to that holding....
jmabs's user avatar
  • 131
1 vote
0 answers
260 views

Calculating returns from transactions

I have a collection of client transactions representing the trades of a single portfolio across multiple securities. What I'd like to do is the calculate the accurate ROI of each security and of the ...
user1467422's user avatar
1 vote
0 answers
779 views

Source on multivariate correlated geometric Brownian motion returns, not prices

Can anyone provide a source that formulates how to generate multivariate geometric Brownian motion returns using the Cholesky method with target correlation matrix, instead of correlated GBM prices? ...
develarist's user avatar
  • 3,000
1 vote
0 answers
63 views

Time and asset weighted rate of return of a portfolio

If I have a portfolio with 3 initial assets on day 1 (say, stock 1 with beginning market value of \$100, stock 2 \$150 and stock 3 \$175) and after 10 days the stock 2 is sold for \$200, how can I ...
Ken's user avatar
  • 11
1 vote
0 answers
58 views

How to compute return series for a German government bond with a 0% coupon?

Recently, the German government issued a long-dated bond with a 0% coupon. I'm trying to implement a historical VaR model and would like to know the best way to model the historical returns of this ...
equanimity's user avatar
1 vote
0 answers
48 views

Calculating the fundamental value of house price to separate bubble component from the price

The bubble in asset price is defined as the deviation of the asset value from its fundamentals, empirically Mendoza and Terrones (2008) measure the bubble as the deviation of an asset price from the ...
Ameer's user avatar
  • 21
1 vote
0 answers
235 views

Fama-Macbeth with Liquidity Sorted Portfolios

I'm currently working on a paper in which I'm trying to see whether the liquidity premium is an observable phenomena when taken into the context of computer games. From my research online I've found ...
Menno Van Dijk's user avatar
1 vote
0 answers
31 views

Is variation in price-dividend ratios that is attributable to excess returns due to variation in returns or variation in risk free rates?

Cochrane and Fama show that "all variation in price-dividend ratios corresponds to changes in expected excess returns -risk premiums- and none corresponds to news about future dividend growth". Is ...
JorgeT's user avatar
  • 283
1 vote
0 answers
87 views

Computing Overall Return for A Single Asset Given Inflows & Outflows

I am creating a portfolio tracking model in Excel and have run into difficulty on how to track the overall performance of a single asset, given that over time more and less capital (shares) has been ...
jmabs's user avatar
  • 131
1 vote
0 answers
71 views

Disaggregating stock performance and dividend yield

I modeled the performance of several portfolios with adjusted close data and would now like to understand how much of it is driven by changes in stock price and dividend payouts. I have all the data ...
user3333198's user avatar
0 votes
0 answers
21 views

Optimized Method to Calc Real Rates of Return From Monthly Nominal Rates

I wrote the following VBA code to calculate real rates of return using Robert Shiller's dataset: Note: This calculation is for forecasted returns so I have no prices available to do the calculation by ...
bill smith's user avatar
0 votes
0 answers
28 views

Calculation of daily dividends from total return index data

I have a question regarding the inclusion of dividend payments in total return indices, but I have no background in finance, so I'm hoping someone here can help me out - any help is highly appreciated!...
user20880144's user avatar
0 votes
0 answers
46 views

Cumulative returns when shorting with regards to variance drag

What is the convention when calculating/analyzing daily returns for a strategy when shorting is involved? I found the following answer regarding variance drag useful in understanding why there is a ...
mimi's user avatar
  • 1
0 votes
0 answers
73 views

Does the interval of a portfolio's returns affect Sharpe and Sortino? If so, what's the gold-standard interval?

I'm currently creating a backtesting script and I've got to the point of calculating risk metrics. It seems like the interval (daily, weekly, or monthly) I use for returns heavily changes the ...
Alex Vale's user avatar
  • 101
0 votes
0 answers
51 views

Real domestic return

I would like to calculate the real domestic return of a foreign asset What I know Real price is $$P_{Real, t} = \frac{P_{Nominal, t}}{CPI_t}$$ where CPI is consumer price index. And I know that the ...
1190's user avatar
  • 109
0 votes
0 answers
535 views

What should degrees of freedom $\nu$ be set to when modeling financial returns that follow the t-distribution?

The closer the t-distribution degrees of freedom ($\nu$) is to 0, the more heavy are the tails, whereas high degrees of freedom recovers the normal distribution. In finance, what value is usually used ...
develarist's user avatar
  • 3,000
0 votes
0 answers
76 views

Does the $t$-copula or Clayton copula capture the dependence structure of empirical returns better?

Which copula captures the dependence structure of empirical asset returns better? the $t$-copula, which has symmetric tail dependence, or the Clayton copula, which has asymmetric tail dependence, and ...
develarist's user avatar
  • 3,000
0 votes
0 answers
35 views

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?
develarist's user avatar
  • 3,000
0 votes
0 answers
66 views

Using Timeseries DB for Tracking Asset Performance over time

I am building a system that allows users to purchase digital assets, and i would like to know the asset's performance of individual users. A user may purchase an asset multiple time in a single day, ...
Jeremy's user avatar
  • 101
0 votes
0 answers
146 views

Replication of the paper: "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction"

I recently replicated the paper "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction" and found out that my estimation of the equity premium differs from the data provided ...
Koval  Boris's user avatar
0 votes
0 answers
45 views

How to compare performance of a German stock

How would you compare the performance of a German stock listed in DAX? I heard many use Euro Stoxx 50. But wouldn’t be the obvious choice to use the DAX? Also, would you use DAX INDEX or DAX FUTURES?
Diamir's user avatar
  • 109