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3 questions
0
votes
1
answer
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Quantile with periodic investing
Short Version
Can I get a quantile of such an expression?
\begin{equation}
\sum_{k=1}^{n} A_k\exp(\mathcal{N}(t_k\mu-\sigma\sqrt{t_k}/2,\sigma)))
\end{equation}
I know I can do it for one part of ...
- 123
2
votes
1
answer
543
views
Quantile normal and lognormal
Let's assume we have a normal distribution $X\sim \mathcal{N}(\mu,\sigma^2)$. In a normal distribution the quantile can be calculated as follows:
\begin{equation}
\Phi_X ^{-1}(p)=\mu +\sigma {\sqrt {...
- 123
1
vote
1
answer
477
views
Creating the histogram for the distribution of the portfolio returns
Given log returns for some stocks $A$ and $B$, which are the constituents of our hypothetical portfolio in equal weights, how does one actually come up with a distribution of the log returns of the ...
- 305