# All Questions

18,212 questions
Filter by
Sorted by
Tagged with
8 views

47 views

6 views

### How to get the 3-digit SIC code from Datastream and merge ISIC to SIC?

When merging an ISIC-related dataset (dataset A) to a SIC-related Datastream dataset (Dataset B), I faced a problem with the three-digit SIC code. Dasgupta,2019 shows how to match these two datasets: ...
40 views

### Why is variance of brownian geometric motion equal to t? [closed]

I know that, for the random variable $B_t$, $B_t \sim N(0, t) = X\sqrt{t}$ where $X \sim N(0,1)$. However, what I am confused by is why the variance of the GBM variable is assumed to be $t$ in the ...
105 views

### Why does the rate of inflation vary over time?

Interest rates have varied significantly over the last 50+ years (source: https://www.macrotrends.net/2016/10-year-treasury-bond-rate-yield-chart ). Is it possible to comprehensively and succinctly ...
I have got a Black-Scholes model with portoflio with two options which bond prices are $V_1$ and $V_2$ (with different maturities or strikes). The interest rate $r$ is stochastic and given by: $$dr = ... 0answers 16 views ### Checking Regression Inputs & Outputs (Factor Regression) I am looking to check the assumptions and interpretation of the output of a regression that I have run for factor exposures in a long/short equity portfolio: Portfolio is long/short equity with a net ... 1answer 37 views ### One-Period Binomial Model So, I'm required to consider the one-period Binomial market model for a particular question. We're told that the savings account is \1 at time 0 and \β at time 1. The stock price is given by S0 = 1 ... 0answers 18 views ### Interpretation of holding lower beta assets leveraged to a beta of one and short high beta de-leveraged to a beta of one I was reading the famous paper "Betting against Beta" by Frazzini et al. They created BAB factor in which a portfolio is created by holding low beta assets, leveraged to a beta of one" ... 1answer 52 views ### Covariance Shrinkage - Am I getting the right variances? I am looking into a quite simple task: shrinking the sample covariance matrix of a minor sample of monthly returns data on 5 different assets. I am using Python to process my data and have been using ... 2answers 119 views ### Conditional expectation of integral of brownian motion I am trying to calculate$$\mathbb{E}\biggl[\biggl(\int_s^t W_u du\biggl)^2 \biggl|W_s=x, W_t=y\biggl] $$where W is a Standard Brownian Motion and s\leq u \leq t. Any help or tips would be ... 0answers 34 views ### Monte carlo simulations giving biased output I wrote code to simulate the stock price using geometric brownian motion. My code is as follows: ... 0answers 26 views ### Calculating E^2[σ^2] where σ is a GARCH(1,1) Proces Given that α =0,113079 β = 0,873884 ω = 0,0000081 Need the calculate a call price using garch volatility I alsa calculated the kurtosis = 235 enter image description here: https://www.researchgate.net/... 1answer 50 views ### EMM for Bachelier model The stock price is assumed to evolve as S_{t}=S_{0}+\mu t+\sigma B_{t}, where S_{0}>0, \mu>0 and the process B_{t} is Brownian motion. The saving account is assumed to be \beta_{t}=e^{r t}... 1answer 64 views ### R - Plotting a 3-dimensional sample path in yuima? Apologies if this is not the appropriate place to post this - this my very first contribution to Quantitative Finance Stack Exchange. I was hoping someone could help me with the following issue. I am ... 1answer 24 views ### How to set up the industry-level variables in an international study based on North America data? In some international studies, authors usually use the industry-level in North America (US and Canada) to control for all-even non-North American-countries. I am quite confused about how to do that in ... 0answers 24 views ### Python Libraries for candle stick analysis I'm a complete newbie to technical analysis so please forgive the rookie question. I'm looking for python libraries that can classify different types of candle sticks and maybe even provide some ... 1answer 27 views ### Replicating Portfolio / Complete Market / Attainable Claim Attempt So Far: 1) First Part: I have shown that the market is arbitrage-free since the only possible portfolio for which V_1^h\geq0 \  given that V_0^h=0 \  is h=(0,0,0) and this clearly ... 1answer 56 views ### Feynman-Kac representation of Black-Cox model Consider the standard setup from Black and Cox (1976, Journal of Finance). A firm issues a defaultable coupon bond to finance a productive asset that follows a geometric brownian motion:$$dx_t = \mu ...
Given a portfolio of $n$ assets, mean returns vector $\mu$, covariance matrix $K$, one can calculate the portfolio weights $w^*$ that maximise the portfolio Sharpe ratio, by solving: w^*=\text{...