# All Questions

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### Applying GRS-test on non-normal residuals with autocorrelation

Is it valid to apply GRS-test (Gibbons, Ross and Shanken 1989) on non-normal and autocorrelated residuals? I got residuals using 10 test-assets regressed on 3-factor and carhart. If it is valid, how ...
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### Representing relative stock price predictions in portfolio optimization

I wanted to ask a simple question in representing mathematical concepts/terms into the portfolio optimization utility functions. I have never worked with these in production environment so I am very ...
12 views

### Hedging Using Zero Coupon Bonds in an Arbitrage Free Pricing Forex Problem

I'm reading Mark Joshi's Concepts and Practice of Mathematical Finance, where in section 2.5 he describes an example of arbitrage-free pricing (attached below). I have a pretty solid understanding of ...
29 views

### Meta-Question: Why do a lot of people in quantitative finance get in trouble? [closed]

I'm trying to understand the causal factors here. It seems on general, people in finance get into trouble with the law. Whereas people in tech don't get into as much trouble. What's up with that?
15 views

### complete python code to calculate risk neutral density from option prices

bAsic python code to implement Litzenberger formula for risk-neutral probabilities implied by option prices. Use S&P 500 option prices whose strike intervals are typically 5 points apart use at ...