# Questions tagged [investment]

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### Constant maturity bond fund returns in downward sloping curve

Assume the following: we are running a constant maturity bond fund (10yrs) all zero coupon bonds to maintain the maturity, we buy bonds of 10y and sell the 9y bonds 1y later price of 10y bond is 100, ...
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### Drawdown distribution mentioned in Expert Trading Systems (John Wolberg)

In equation 2.13 of Chapter 2 (pg. 41), in his book "Expert Trading Systems: modeling financial markets with kernel regression," John Wolberg writes the probability of drawdown of $P$ ...
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### Stambaugh inference for Investment Analysis when History Lengths Differ

This pertains to Stambaugh in the JFE (vol. 45, 1997 pp 285-331), and I have a question about Proposition 1 results (page 292). (link) To set the background, let's take the smallest relevant ...
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### Real Options for investment valuation (Basics)

Thank you for checking out this post. I already asked a question once on this forum, and you did a great job helping me out with that topic, as I couldn’t have come across a solution myself. This time,...
377 views

### Invested Capital: operating approach vs financing approach

I've googled and read many articles about "ROIC" and "Invested Capital", but I'm still confused about how to calculate them. The best explanation I've seen so far is: Invested ...
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### Two specific questions about CAPM's assumptions and implications

I have two questions about the CAPM model: the first is theoretical while the second is related to observed market data. First question: let's say we have company A and company B and we want to ...
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### Question regarding calculating Geometric Standard Deviation

I know GSD can be calculated by taking exponent of standard deviation of log return. My question is whether 1 should be subtracted from exp or should 1 not be subtracted ie exp(stdev of log returns)-1 ...
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1 vote
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### Interperting Negative Sortino Ratios

I noticed when both assets sortino ratios are negative the asset with the worse return and worse downside deviation has better Sortino Ratio. Is there a way to fix this?
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### Open Interest on Stocks

According to the first bullet point in this explanation, "In the stock market, open interest is the number of buy orders submitted before the market opens. When the open interest is high, people ...
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### How to incorporate ESG in Portfolio Optimization?

I currently have a potential investment universe of several thousand stocks and would like to calculate an optimal portfolio that incorporates ESG criteria as well as risk and return. The model should ...
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### Why "hedging motives" and "heterogeneous preferences" are explanation for "under diversification puzzle"?

Han et al. 2021 documented something relating to the "under diversification puzzle": Standard explanations for under diversification include hedging motives and heterogeneous preferences, ...
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### Why individual investors are attracted to lottery stocks is a puzzle?

Han et al. 2021 mention one puzzle in investment is individual investors are attracted to stocks with high skewness, so-called lottery stocks(...). This behavior is not consistent with standard ...
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### Calculate interest

I'm kinda stuck with the following problem. I am given the terms in Month, a net-value, a residual value, and a monthly rate. Now my job is to calculate the interest. Usually I am giving the interest ...
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### How exactly are corporate bonds priced at issue

I am interested in Debt Capital Markets but I am struggling to understand how bonds, particularly corporate bonds, are priced initially. I know that a company will tap an investment bank as book ...
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### What should I learn/know before reading Investments by Bodie Kane Marcus?

I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site. I've been seeing a lot of recommendations for the book, ...
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1 vote
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### Logic behind calculating a Carry Multiple associated with Startup Valuation [closed]

I'm reading a book called "The #1 Guide to Startup Valuation: How to value your startup in 12 easy steps" (p. 22-23) by Joachim Blazer. As one of the building blocks, namely "Return&...
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Does the number of shares matter for a company to go public? Suppose a company ABC went public and the initial valuation of the company shares to be sold stands at \$5000. Now, it can sell 1000 ... 3 votes 1 answer 157 views ### Possible application of Polya's Urn on Portfolio's Investments? I wanted to find some more information of this topic, but I found very little. I might be interested in optimizing a stock investment portfolio. Maybe I could use beta or some other common risk ... • 31 1 vote 0 answers 119 views ### Quantitative model for investing in ETFs [closed] I want to build a model for asset allocation of my own personal pension in ETFs across four main asset classes: equity, bonds, commodity and property. I am familiar with Python and the basics of risk ... • 19 2 votes 2 answers 220 views ### Optimizing Investment Portfolio I might be interested in optimizing an stock investment portfolio. With or without using programming, is there an article I should refer to optimize my portfolio and help me taking good investment ... • 329 -3 votes 1 answer 77 views ### Filter the NASDAQ stocks for investment [closed] I manage an investment portfolio since 3 years now. It might be interesting to filter all the NASDAQ stocks to tell us which ones have the greatest profit potential. Is there an arxiv or whatever ... • 329 2 votes 2 answers 153 views ### Estimating realised gains given growth rate and churn If one can estimate that the value of an investment portfolio will grow at$g$% per annum, and can estimate that approximately$c$% of that portfolio will be churned each year (sold and reinvested), ... • 21 1 vote 0 answers 23 views ### Is there a standard name for subtracting time dependent risk free rates from PnL(Equity) curve? When we subtract the time dependent risk free rate (Federal funds rate) from an PnL (Equity) Curve, what is the curve called? • 217 0 votes 1 answer 169 views ### Comparing values of indicator between different stocks I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ... 0 votes 1 answer 181 views ### How did Dimson, Marsh and Staunton (2002) computed the equity index annual real return? I was trying to read the triumph of the optimist, but it was almost impossible to see a well-written formula to show how the returns have been computed. In a simple sense, I do not know how the annual ... • 111 7 votes 1 answer 365 views ### Why should long-term investors care about flash crashes/ intra-daily volatility/HFT? I am wondering about implications of the speed of intra-daily trading on the wealth of an long-term investor. I am not necessarily asking about the costs of HFT trading to society but instead I wonder ... • 1,456 0 votes 1 answer 76 views ### How to determine how much a company can invest in M&A activity? I am an engineer who is increasingly interested in business-related things, and I am reading and learning a lot about what you can derive e.g. from financial statements. One question I was wondering ... 5 votes 1 answer 676 views ### 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 ... 1 vote 1 answer 245 views ### Time-Value of money exercise problem. Any advice on how to solve? Problem An investor will receive$365 at the end of each year for thirteen years. The first payment will be received four years from now. Given that the interest rate is 3%, the present value of this ...
Assume, you have a choice between two investments that both cost \$1000 each, however investment A pays \$20 a year and \$950 at the end of year 5 but investment B pays \$10 a year and \\$1000 at the ...