# All Questions

4 questions with bounties
Filter by
Sorted by
Tagged with
135 views
+50

### Calculation of break-even correlation for diversification effect in N-assets case?

I'm thinking about a generalization of the following case: for 2 assets, there is a diversification effect as soon as i obtain a positive weight for the minimum-variance portfolio in the asset with ...
• 543
32 views
+50

### Testing one asset pricing model against another a la Cochrane: a counterexample

I am reading section section 14.6 of John Cochrane's lectures notes for the course Business 35150 Advanced Investments. On p. 239-240, he discusses testing one asset pricing model against another. I ...
• 2,638
1 vote
53 views
+50

### R resources for GMM estimation and testing of multifactor asset pricing models

Has anyone seen R script for GMM estimation and testing of asset pricing models such as Fama-French 3-factor or similar? Ideally, I would like to have R scripts corresponding to Cochrane "Asset ...
• 2,638
169 views
+100

### mathematical proof of the hedge ratio formula for bond futures

We know that the hedge ratio ϕ_F that we should use in order to to the duration-hedging through bond futures is: $$ϕ_F= -(DV01_B / DV01_{CTD} )\cdot CF_{CTD}$$ Where $\textrm{DV01}_B$ is the dollar ...