Kiwiakos
  • Member for 7 years, 6 months
  • Last seen more than 1 year ago
Isolating single assets standard deviation in a portfolio accounting for correlation
1 votes

If I understand correctly what you are after is the marginal volatility contribution of a single asset to the portfolio. This is given by $$ \sigma(X_j;X) = \sigma(X_j)\ \rho(X_j, X) $$ See here for ...

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How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
1 votes

Say that you did the calculations in the classic regression way. If you stick the returns of your 4 asset returns in a $(T\times 4)$ matrix $Y$, and your 3 factor returns in a $(T\times 3)$ matrix $X$,...

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Credit Rating or Probability of Default from Financial Ratios
1 votes

Bloomberg has a Default Risk model, which is similar to what you are querying. You can see a screenshot in this PDF. There you can also see the kind of variables they use. You can access it by typing ...

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Who determine Sport rate curve (Yield Curve)
1 votes

Your second version is correct. The market determines the price of these bonds, from which the curve is derived. Your first version has a tiny speck of truth, in the sense that the central bank (e.g. ...

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Correlation between S&P500 returns and 10y US Treasuries yields
1 votes

My opinion is that using rolling correlations of returns which themselves are computed over rolling windows is not reliable. Taking rolling windows smothers information. Instead, I would specify a ...

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Gamma vs. Volatility Risk
1 votes

@Paul, I think you are correct. Your expression relates Gamma and Volatility Risk, as volatility risk is the risk of mis-estimating the future realised volatility. My only comment relates to your ...

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Is an economy where money yields interest able to be sustainable and healthy? If yes, how?
1 votes

I think that you have to distinguish between a 'fiat' (modern) monetary system and a 'gold standard' one. But sustainability will always be ensured endogenously, one way or another. Fiat money is ...

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Correlation of Asynchronous Brownian Motion
0 votes

Have you tried to simulate both processes together from US close -> JP close -> US close -> JP close and so on? Where the correlation is fixed, but the volatility of each step is proportional to the ...

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Is there a stochastic equation which can model returns according to its four moments?
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Levy models do that to some degree. They have the iid look and feel of the standard Gaussian models, but allow for higher moments. You can check the papers of Dilip Madan on Variance Gamma as a ...

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Mix of Arithmetic and Geometric Brownian Motion
Accepted answer
0 votes

Are you talking about something like this? $$dx(t)=\ldots\ dt+[x(t)]^\gamma\ dW(t)$$ If $\gamma$ is zero then you've got BM, if it's one you get GBM, inbetween you have a 'mix'.

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I need a low volatility asset that gives an interest/dividen
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Have you looked at money market ETFs? Something like Pimco's MINT http://finance.yahoo.com/quote/MINT

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Correlation: Use Price or Return? Return doesn't make sense
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I suspect that you are mixing correlation and cointegration. What you describe as the co-movement of prices sounds like cointegration.

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Regime switching model getting data
Accepted answer
0 votes

Spx is perfect for that. But for regime switching you need samples that span many years.

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Do you know fast to compute, yet plausible risk attribution measures?
0 votes

You can check the Euler-based risk attribution/ risk allocation, for example here: http://arxiv.org/pdf/0708.2542.pdf

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The portfolio whose return is the stochastic discount factor
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$\alpha$ units of cash and $\beta$ bonds? Presumably you mean 'value' rather than 'return', since the SDF is not a percentage return but a 'discount factor'.

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ES not elicitable
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This is formally correct. However, I am not sure if practically it really makes any difference as Tasche points out: https://workspace.imperial.ac.uk/mathfin/Public/Seminars%202013-2014/...

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demonstrate that a Square-root process is Non-central Chi-squared distributed
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Proof in the paper by Feller: http://www.jstor.org/stable/1969318

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Why is there a stong intraday-correlation between spot and vol?
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A large part of this comes from the simple combination of: 1. A downward sloping volatility skew (which corresponds to a skewed risk neutral distribution) 2. Sticky strike behaviour The vol that you ...

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Yield curve interpolation at (very) short horizons
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I assume that with 'yield curve' you mean US Treasury curve. The very short end is determined by the Fed rate, therefore one uses flat forward interpolation between Fed meeting dates (which are every ...

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Calculating portfolio risk
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I would say that one should differenciate between what the formula means, how the inputs are calculated, and how one would use it. What is means: As noob2 points out it makes sense for simple ...

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Buying OTM puts and then selling stock
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Is the stock so easy to manipulate? How much does she need to spend to drive the price against her, far enough to pass the strike and make a profit? For a stock that is that thinly traded to be ...

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Simple value of a Forward contract at an intermediate time question
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If we compound semi-annually and we have half year to go, then the current forward price is $$F = S \left(1+\frac{r}{2}\right) = 125 \left(1+\frac{0.10}{2}\right)$$ Isn't it as simple as that?

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Extensions of CIR
-1 votes

A simple shifting trick is to put $r(t)-f$ instead of $r(t)$ under the square root in your expression. Then $f$ is the new, possibly negative, interest rate floor. If, for example, $f=-100bp$ then the ...

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