Taylor

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returns

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26 votes cast

Questions (13)

Votes Activity Newest

7	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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Reputation (494)

+20	How to use factor models for prediction?
+10	true or false: the risk-neutral measure is useless in this situation
+10	How is Radon-Nikodym derivative different from the likelihood ratio?
+10	How do I know what my portfolio weight constraints are given to me by my broker?

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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 (43)

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

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Bookmarks (5)

Votes Activity Newest Views Added

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

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Quantitative Finance

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0	down		19	answer

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