# All Questions

12,264 questions
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### Calculating Ex-ante Sharpe Ratio in multi-period setting

I have built a return process $\{x_t, t = 1,\dots,T\}$ for an asset. Suppose I have generated $K$ sample paths $\{x_t^j, t=1,\dots,T\}, j=1,\dots,K$. I think of two ways to compute the Sharpe ratio. ...
78 views

### Predicting portfolio returns

I suppose there are roughly two approaches to predict portfolio returns. Either predict the returns of all underlying stocks and aggregate all individual stock predictions, or predict the portfolio ...
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### Using CFNAI index for identifying sample periods

I'm doing my Thesis on Asset pricing models and I would like to find out the effects of business cycles on the performance of asset pricing models for industry portfolios. My initial idea was to ...
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### How much senior debt could be issued? [closed]

Is there a limit on how much senior debt could be issued? If a company issues a small amount of debt relative to its assets and wants to issue more could it still be called "senior" or it would have ...
98 views

### Find the brownian motion associated to a linear combination of dependant brownian motions

I have $N$ correlated standard one-dimensional Brownian motions $W_1,\ldots,W_N$ with correlation matrix $\rho$ and I consider the process $Z_t \equiv \sum_{i=1}^N \mu_i (t) W_t$ where the $\mu_i$ are ...
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### Using variance reduction on only some models

I am pricing options with some copula based models using Monte Carlo simulation. I was looking up some easily implementable variance reduction methods and decided on antithetic variates. However, ...
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### Calibration of 1-factor Hull-White model using Jamshidians trick - see my code

So, I'm trying to calibrate the Hull-White 1-factor model given Black swaption volatilities that I have from the Bloomberg terminal. I'm following the Jamshidian method as described in this thesis (3....
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### R: Book with extensive examples for either portfolio optimization or volatility forecasting?

I'm at a new job and there's the option to use R (you don't have to, but I'd like to). I used R years ago, so I while I'm somewhat familiar with it, I have forgotten most of it. For me, the best ...
20 views

### Where can I get large dataset [duplicate]

Where can I get large unbiased dataset for all stocks in the world (and not just the historical price but also the balance sheets fact and ratios). By unbiased I mainly mean to: 1. not being ...
43 views

### Brownian motion for modelling future asset values

Assume that an asset price $S$ is given by a Brownian motion. Argue from the definition why it is not possible to predict future values of the asset based on the past values of $S$. I am not sure ...
71 views

### Derivation and expectation interchange

I would like to know when it is allowed to interchange derivation and expectation. Suppose $X$ is some r.v whose dynamic is controlled by some parameter $\sigma$ and suppose $h$ is some smooth ...
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I posted this question in the finance/economics arm but someone suggested this would be a more relevant place. I have attached a photo of a list of bond issuance's in Australia. Could someone please ...
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### Residual Risk and Variance

I've solved part a, but am struggling with b and c. $x_m$ is the market portfolio vector, and I think $T$ should be a diagonal matrix. Any hints greatly appreciated!
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### Can anyone explain to how Hull get's from the stock returns to continuously compounded stock returns?

I'm reading Chapter 13 of Hull's book and am stuck on how he got from stock returns to continuously compounded stock returns. As a recap, he built the generalized Wiener Process, which describes a ...
28 views

### Proof of no arb condition after shifting SABR’s rho

Does anyone know of any paper or research where they shift SABR’s skew and rebuild the surface? In particular, I would like to prove theoretically whether the no arbitrage condition hold for the ...
119 views

### Mathematical models for personal finance decisions

I'm doing some bibliographic research on mathematical models for personal finance decisions. I should like to ask whether you know any of them, because the research that I did on Google Scholar haven'...
20 views

### Looking for a dataset with historical SP500 (100) components [duplicate]

Does anyone have a dataset of a complete list of the historical (starting from the 80s 90s something like that) composition of the SP500(100) with the dates when the tickers where removed from the ...
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### Ito Diffusion with Change of Measure

Let $(X_t)$ be an Ito diffusion with speed $(V_t)$, under a probability measure P. Could there exist a change of measure to a probability measure Q, with Q ~ P, under which $(X_t)$ is an Ito diffusion ...
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### Does it make sense to combine different modified durations?

Does it make sense to aggregate different modified durations into one overall duration measure? In the context of insurance liabilities: ...
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### Risk-Neutral Pricing with Regime Switching

As the title suggests, I am currently trying to implement a dual regime-switching options pricing model. In its simplest form, I am fitting a risk-neutral GARCH(1,1) to a crash and normal regime. ...