Questions tagged [investment]

The tag has no usage guidance.

16 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4
votes
0answers
256 views

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 ...
2
votes
0answers
70 views

Portfolio optimised for diversification and regular yield. How to hedge?

Here is a portfolio optimisation for equity dividend and yield designed to diversify holdings and produce regular monthly returns using only ETFs complete with R code. http://prescientmuse.blogspot....
2
votes
0answers
87 views

FRA-Strategy: Make 3-month and 1-year Excess returns comparable

I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference. I am ...
1
vote
0answers
103 views

Question regarding loan tape data when thinking about providing credit facility to bank

I have few questions regarding loan tape data such as this one: Data Say that I as a fund want to provide a credit facility to this bank and am given this loan tape data. (1) What observations / ...
1
vote
0answers
96 views

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, ...
1
vote
0answers
22 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?
1
vote
0answers
53 views

Does the FF 3-Factor model work with unadjusted prices?

I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my ...
1
vote
0answers
22 views

In what way are capital increases usually advertised?

I am currently trying to better understand capital increases and dilution. I came across a few presentations of companies. I am trying to find out, if there are any standards, which are commonly part ...
0
votes
0answers
30 views

For investment analysis, is it helpful to draw charts of present value (PV) against rate (%)

Background I prepared a prototype getting cash flow as input and drawing as output some charts like present value (PV) against rate (%). The points with big radius on chart of NPV against rate are IRR ...
0
votes
0answers
33 views

Calculation cash flows for NPV = 0: numerical solutions

I have two time series of cashflows, one for renting a building and one for buying it. Normally I calculate the net present value for both cashflows and then calculate their difference. I do this for ...
0
votes
0answers
28 views

Calculating Portfolio Visualizer's CASHX Risk-Free Return Benchmark

I would like to understand how to calculate Portfolio Visualizer's CASHX symbol for every month. This ticker is used as a risk-free rate, based on historical 3-month treasury bill rates published by ...
0
votes
0answers
12 views

Including lagged dependent in DOLS to estimate R&D effects

I have estimated a DOLS model which seems to have a good fit. My aim with the model is to test alternative scenario's where I change some of the parameters ceteris paribus and analyse the impact. The ...
0
votes
0answers
55 views
0
votes
0answers
33 views

Performance Attribution - changing weights

I would appreciate it if someone could help me tackle this problem. I have daily data of returns for my portfolio, daily weights accounting for various portfolio changes. Could someone explain how I ...
0
votes
0answers
26 views

Choose an investment option only knowing the costs, cost of capital and lifetime

A question in my course hasn't given us much to go on. I'm not sure if there is a specific model I could use to determine which project is the better one. 1st option costs 350.000, has a life ...
0
votes
0answers
53 views

What share of the stock market is owned by whom

These days we were discussing whom you have to beat if you are trying to earn money in the stock market. I think the players are private stock holders actively managed investment funds ETFs maybe ...