# Questions tagged [variance]

Used for questions related to statistical measure "variance", i.e. a second central moment of a random variable. The variance is a risk measure.

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### Minimum variance portfolio [closed]

Suppose we have n stocks, covariance, expected returns. I got efficient Frontier weights from scipy SLSQP. Does minimum variance weights change if we change expected returns?
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### The use of the trading time variance/volatility curve

In trading, how is the trading time variance/volatility curve and spread curve such as depicted and parameterized on p. 277 of Jim Gatheral and Roel C.A. Oomen, Zero-intelligence realized variance ...
• 2,471
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### Deriving the variance of G2++ Model

I'm studying G2++ Model in Brigo(2007)'s book. The model constructed as follows, $$r(t) = x(t) + y(t) + φ(t), \quad r(0) = r_0\\$$ with the dynamics of $dx(t)$ and $dy(t)$ described by: \begin{align}...
• 303
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### Hedging an option with a stock and forward variance

Following Deep Hedging under Rough Volatility (https://arxiv.org/abs/2102.01962) they construct a hedging portfolio consisting of a stock and a so-called forward variance to hedge a European call ...
1 vote
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### How much compensation need to take on risk?

Quant Firm Interview Question We roll three, 8 sided dice. If same face appears 3 times we win 80 dollars. We have a bank of 10,000 dollars. How much are we willing to pay to play? What if we increase ...
1 vote
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### Variance of the price from returns variance

Let's say that we have the variance of the daily return at $t_0$: $$\sigma_{r_{t_0}}^2=\text{Var}[r_{t_0}]=\text{Var}[\frac{S_{t_0}-S_{t_0-1}}{S_{t_0-1}}]$$ for price process $S_t$. Is there a way to ...
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### Verify numerically relation between mean deviation and standard deviation

I was reading "We Don’t Quite Know What We Are Talking About When We Talk About Volatility" by Goldstein and Taleb, and I was trying to quickly verify numerically the relation between mean ...