Quantitative Finance
Matthew Gunn
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101 Answers

Newest Activity Votes
11
Philosophical Question about Factor Models
May 5 '17 at 4:07
3
Is there an intuitive explanation for why Kelly gambling ignores odds?
Mar 8 '18 at 22:55
5
Why quants think that the risk-neutral measure should not be used for financial forecasting?
Nov 21 '17 at 0:32
1
Is it possible to adapt Fama French Model with a 6 factor Model?
May 21 '19 at 15:54
8
cvxpy portfolio optimization with risk budgeting
Nov 24 '17 at 23:56
11
Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?
Jan 9 '19 at 2:49
6
Maximum Sharpe portfolio (no short selling restrictions)
Feb 13 '19 at 16:48
4
How to perform cross-sectional asset pricing regression?
Feb 14 '19 at 16:12
2
A positive Sharpe ratio when portfolio loses money, can that happen or bug in my code?
Feb 6 '19 at 17:42
5
What is a central bank's shadow rate
Jul 28 '17 at 16:00
3
Can the historical probability be the same as the risk neutral probability measure?
Jan 10 '19 at 20:16
2
Fama French 3 model factors for German equities
Jan 9 '19 at 16:33
4
Does predictability in a VAR process imply mean reversion or momentum?
Aug 31 '18 at 20:51
4
What does risk tolerance represent for utility-maximizing optimization with linear constraints?
Nov 1 '18 at 16:44
2
Markowitz optimization - can two sets of returns produce the same set of weights?
Nov 2 '18 at 16:18
4
Is there a proxy for S&P 500 market/pricing inefficiency?
Oct 8 '18 at 20:20
3
Fama Mac-Beth (1973) vs Fixed effect
Aug 26 '17 at 18:34
8
Kurtosis in GARCH
Oct 1 '18 at 18:18
8
$\mathbb{P}$ vs $\mathbb{Q}$ Probabilities - Transitioning Between Measures
Jul 28 '17 at 18:53
2
How can you determine the correct significance of the Shiller P/E regression?
Jul 21 '17 at 18:28
2
sharpe ratio from regression
Sep 11 '18 at 17:25
2
GARCH fit: “failure to achieve convergence”… a problem?
Sep 4 '18 at 18:47
8
Calculating alpha and its meaning
May 6 '17 at 19:19
2
What are the assumptions in the first-stage of Fama-MacBeth (1973)?
May 11 '17 at 0:52
4
What is the intuition of a spread portfolio and how exactly is it constructed?
Jul 15 '17 at 20:36
5
Definition of Arbitrage
Aug 16 '18 at 17:00
4
CAPM Calculations
May 4 '17 at 15:45
9
What is the difference between risk neutral probabilities and stochastic discount factor?
Feb 26 '18 at 16:48
2
Sequential Optimization
Aug 2 '18 at 22:46
2
Portfolio optimization with non-linear cost
Jul 30 '18 at 16:23
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