# All Questions

12,693 questions
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### Antithetic sampling Monte Carlo

In Peter Jaeckel, Monte Carlo in Finance book, I read the following sentence: Whenever the first realised moment of the underlying variate draws $\{z_i\}$ has a strong impact on the result of the ...
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### Investors degree of risk aversion in capm model

I am a bit confused about one assumption of the capm. My professor said that in the capm model all investors share the same utility function and the same degrees of risk aversion. Then as a final ...
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### Portfolio return with changing assets over time

I need some feedback on a very basic question regarding the calculation of the portfolio return. I have created an example of a portfolio with two assets and attempted to calculate the return: I've ...
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### How can i fit the following regression in R? Why is the coefficient [second Columns] for R so low?

'Rwml' is the monthly log return So the first column is clear, I got nearly the same values, at least the same magnitude. But: If I regress on the variance, my input values are way too low to get a ...
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### Strategic asset allocation research

I am currently trying to form an overall asset allocation strategy which combines base strategic allocation and tactical shifts. My model already incorporates the tactical shifts using various factors ...
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### Ito formula (lemma) problem

I am trying to solve this problem Consider the following one-dim. stochastic process $$dX_t = b_t dt + \sigma_t dW_t$$ where $W$ is a one-dim. Brownian motion. The above SDE is well-defined. ...
917 views

### How to calculate time-segmented volume? [closed]

amibrokers has this calculation for TSV: ...
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### Constant Maturity Swap dates and conventions

Let's note $L(t,T_i,T_{i+1})$ the libor rate observed at $t$, fixing at $T_i$ with delivery at $T_{i+1}$. The natural delivery date for this rate is $T_{i+1}$, so a vanilla swap with no pay lag would ...
56 views

### How to interpret the (expected) exposure and CVA of an option or a single share

I have a quick (hopefully simple) question regarding the interpretation of the expected exposure of a call option and a single share. I've done some computations on the formula for the expected ...