All Questions

12,868 questions
Filter by
Sorted by
Tagged with
14 views

Create Random Portfolio Loop

I have semi annuals returns for 303 different stocks. What I want to do in R is create a portfolio of 1, then 1-2, 1-2-3 etc. untill 100 securities is reached. Now the problem is that whenever a ...
75 views

Building a semi-discretionary system

I've been investing for the last 15 years in a weird Buffett/Soros way. For the last few years I've been toying with the idea of modeling myself. I want to build a 'stock screener' that will be able ...
10 views

How to analyse under-weighting of boundary information in monthly overlapping one year observations

According to the EBA GL 2017/16 there is the possibility to estimate long run average default rates using overlapping one year default rates. Thus, let us define for each month $i=1,\ldots,m$: $L_i$ ...
24 views

Momentum factor (mom) weekly

I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.
2k views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
11 views