Taylor

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returns

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Questions (13)

Votes Activity Newest

6	How to use factor models for prediction?
3	Discretizing a Continuous Time Stochastic Volatility Model
2	explanation of factor tilts that uses mathematical notation
2	Calculating excess returns
2	name of this portfolio optimization strategy

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Answers (8)

Votes Activity Newest

3	How to tune Kalman filter's parameter?
2	Questions on continuously compounded return vs long term expected return
2	Using R with princomp to create hedge baskets
1	How is Radon-Nikodym derivative different from the likelihood ratio?
0	How do I know what my portfolio weight constraints are given to me by my broker?

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Tags (45)

3 parameter	2 expected-return
3 kalman	2 quant-trading-strategies
3 modeling	2 kelly-criterion
2 returns × 3	2 r
2 brownian-motion × 2	2 hedging

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Bookmarks (5)

Votes Activity Newest Views Added

40	How to build a factor model?
36	Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
18	Why do expected return models and risk models use different factors?
9	Typical risk aversion parameter value for mean-variance optimization?
2	Are “stylized facts” based on reliable evidence?

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Quantitative Finance

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0	down		19	answer		2

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