Questions tagged [dynamic]
The dynamic tag has no usage guidance.
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Why is the dynamic mean-variance problem time-inconsistent?
A lot of the literature in dynamic mean-variance problem states that the dynamic mean-variance problem is time-inconsistent. Now I was not able to find an example of why the problem is time ...
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Dynamic portfolio optimization with cumulative prospect theory
i'm new to this forum and i hope i can get some help or at least some guidance how to tackle the following problem: I'm tasked to write a VBA Macro that conducts an intertemporal portfolio ...
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Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) Models
I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the ...
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Are there stocks dynamic that cannot be represented by Generalized Black Scholes model?
The generalized Black Scholes Model refers to a stock dynamic that satisfy
$$
dS(t)=S(t)(\mu_t dt+ \sigma_t dW(t))
$$
By martingale representation theorem, it seems that if there is a risk neutral ...
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Trading 3 stocks X Y Z where X cointegrated to Y, Y to Z, but no other cointegration is available
Suppose you have 3 stocks, say X Y Z. You also know that
X is cointegrated to Y using some test (say ADF)
and
Y is cointegrated to Z.
However, no transitivity, and no threesome cointegration ...
3
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Inverse Problems in Finance
Are there any canonical references for inverse problems in finance? For example, if I have a measure that evolves with Fokker-Planck dynamics, are there standard approaches used by the community to ...
- 169
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1
answer
260
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Dynamical Behavior of Hurst Exponent
I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion.
I have read some references on ...
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Value function does not converge when applying the general value iteration adaptive dynamic programming [closed]
Recently,I am trying to control a marco traffic system with the general value iteration adaptive dynamic programming algorithm.However,the results do not reach my expectation.
Here is the pseudo code:...
- 11
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248
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Sharpe ratio for dynamic portfolio
I want to test the performance of my strategy with different rebalancing period. I'm struggle with calculating the overall performance on backtest results and making final conclusions.
For example, ...
- 41
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vote
1
answer
450
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Dynamics of LIBOR foward rate under T-forward measure
Assume that under the physical measure $\mathbb{P}$ we have for the LIBOR forward rate $L(t):=L(t;S,T) = \frac{1}{T-S}\left(\frac{P(t,S)}{P(t,T)}-1\right)$ that
$$
\mathrm{d}L(t) = L(t)\left(\mu(t)\...
- 383
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Dynamic counterpart for model tunneling/optimization using past data
When we tune a model to optimize parameters for a strategy using past data, even if controlling for overfitting (checking out of sample performance) and refreshing the analysis from time to time, we ...
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Why is this utility function not picking up its penalty?
I was reading this seminal paper by Infanger. On page 40, Figure 11. was quite interesting. In particular I was interested in the top one, 19 Years and I wanted to reproduce this plot. To give some ...
- 1,718
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1
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637
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How to (efficiently) calculate the maximum possible return of a perfect "crystal ball" investment strategy?
I am new to the world of investing, so please excuse the clumsy wording of the question... there is probably a better term for what I am looking for or maybe this is even a known/classic problem. If ...
- 153
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How to estimate an Engle's asymmetric DCC model in R?
I have a $N x d$ matrix of standardized residuals, and I want to estimate the parameters $\alpha$, $\beta$ and $\gamma$ of the asymmetric version (Cappiello, Engle, Sheppard, 2006) of the usual ...
- 449
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How to write time-varying functions in R? Applied example
Let's say I want to use a Gaussian copula
$$C_{R_t}(\eta_1, ..., \eta_n) = N_{R_t}(N^{-1}(\eta_1), ...,N^{-1}(\eta_n))$$
with a time-varying correlation matrix $R_t$. Through DCC we model the ...
- 449
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Dynamic programming problem with dimension over 1000.
I am working on a dynamic programming problem with dimension over 1000. In this past, there exist methods like Smolyak algorithm and Adaptive sparse grid method to solve dynamic programming problem ...
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264
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How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?
As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated.
Currently I am trying to ...
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Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?
we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
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Why dynamics of local volatility is wrong?
In Dupire's local volatility model, the volatility is is a deterministic function of the underlying price and time, chosen to match observed European option prices.
To be more specific, given a ...
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How can I do a dynamic GARCH model using extended Kalman filter in R?
Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
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Do you have a good application example of Approximate Dynamic Programming?
Have you ever tackled a finance problem with Approximate Dynamic Programming?
I have only used dynamic programming for simple examples like a optimal extraction in mining.
Do you have canonical ...
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Simulate from time-dependent copula in MatLab using COPULARND
I would like to simulate from a t-copula with time-dependent correlation matrices.
Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
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Non-linear Dynamical Systems and Quantitave Finance
The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with ...
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Dividend Index Futures
My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
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Pricing Assets in the S&P Dynamic Asset Exchange
I am attempting to recreate the S&P Dynamic Asset Exchange using the methodology outlined in this paper.
I am struggling to 'normalize' the prices of the assets properly. On page 6 of the ...
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