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7 votes

Probability of success given expected return and volatility

It's probably a simple textbook example to illustrate Taleb's point. Suppose $\text{d}S_t=\mu S_t \text{d}t+\sigma S_t \text{d}W_t$ with $\mu=0.15$ and $\sigma=0.1$. By Itô's lemma, the log return ...
Kevin's user avatar
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3 votes

Is sorting stocks into portfolio mandatory in Fama-French model?

When you only have three stocks in your data set, trying to form portfolios will not be helpful. Run the analysis on the individual stocks' data as is. Using portfolios instead of individual assets in ...
Richard Hardy's user avatar

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