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Questions tagged [expected]

The tag has no usage guidance.

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0answers
46 views

Ito isometry of variance of integral on interval [t, t+1]

Can I use Ito isometry to calculate $Var(Y_t)$ where $Y_t= \int_{t}^{t+1}B_sdB_s$ and $B_s$ is Brownian motion, in this way? Is my reasoning correct? $$Var(Y_t)=E[Y_t^2]-(E[Y_t])^2$$ Applying Ito ...
2
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1answer
241 views

Intuitive explanation for expectiles

I am looking for an intuitive explanation for expectiles. Here is a link to a paper about expectiles: Bellini and Di Bernardino: Risk Management with Expectiles, European Journal of Finance, May ...
1
vote
1answer
519 views

Expected Shortfall Basel III style: what is the idea?

I would like to do a qualitative question about the Expected shortfall in the Basel 3 document. First of all let me introduce few definitions. Suppose to have a portfolio $P$ depending on a family ...
1
vote
1answer
690 views

Explain Four Basic Axioms of Maximising Expected Utility

I begin learn PRM , Someone help me understand Four Basic Axioms of Maximising Expected Utility most intuitive way .Thank you very much
4
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2answers
87 views

Integration to calculate expected value of swap rate

In Hagan's paper on valuing CMS swaps (Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors), there is: So the swap rate must also be a Martingale, and $$E \big[ R_s(\tau) \big| \mathcal{...
3
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1answer
66 views

Expected returns vs expected prices?

This may be the most stupid question ever asked here, so sorry in advance for asking it. Suppose we have a single period security which gives dividend $D_{t+1}$ and has current price $P_t$. By ...
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0answers
54 views

Rational expectation meaning

What does rational expectation (RE) mean in agent-based modeling context? What are the relationships between RE and expectation and outcome?