User Matthew Gunn

9 votes

Accepted

Fama-French factor model: why mimicking portfolios?

answered Mar 21 at 21:57

2 votes

Accepted

GMM estimation of the CAPM: why not include sample mean of the market excess return as a moment?

answered Feb 15 at 15:15

1 vote

Accepted

Definition and estimation of $\beta$: raw or excess returns?

answered Feb 15 at 14:48

2 votes

Accepted

Why estimate the (known) market return in the cross-sectional regression of Fama-MacBeth?

answered Jan 31 at 19:22

4 votes

mean-variance optimization === max sharpe ratio portfolio?

answered Nov 7, 2022 at 16:36

3 votes

Accepted

Value factor from Ken French's library

answered Mar 3, 2022 at 14:41

5 votes

Accepted

Are Fama-French returns in percentages?

answered Feb 10, 2022 at 16:12

5 votes

Accepted

Is this quadratic form the Sharpe ratio?

answered Jan 5, 2022 at 18:57

3 votes

Carhart 4-Factor Model intercept interpretation

answered Jun 23, 2021 at 16:43

4 votes

Is it possible to adapt Fama French Model with a 6 factor Model?

answered May 21, 2019 at 15:54

7 votes

Accepted

How to perform cross-sectional asset pricing regression?

answered Feb 14, 2019 at 16:12

12 votes

Maximum Sharpe portfolio (no short selling restrictions)

answered Feb 13, 2019 at 16:48

3 votes

Accepted

A positive Sharpe ratio when portfolio loses money, can that happen or bug in my code?

answered Feb 6, 2019 at 17:42

3 votes

Can the historical probability be the same as the risk neutral probability measure?

answered Jan 10, 2019 at 20:16

3 votes

Fama French 3 model factors for German equities

answered Jan 9, 2019 at 16:33

23 votes

Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?

answered Jan 9, 2019 at 2:49

4 votes

Accepted

Markowitz optimization - can two sets of returns produce the same set of weights?

answered Nov 2, 2018 at 16:18

4 votes

What does risk tolerance represent for utility-maximizing optimization with linear constraints?

answered Nov 1, 2018 at 16:44

6 votes

Is there a proxy for S&P 500 market/pricing inefficiency?

answered Oct 8, 2018 at 20:20

10 votes

Accepted

Kurtosis in GARCH

answered Oct 1, 2018 at 18:18

2 votes

sharpe ratio from regression

answered Sep 11, 2018 at 17:25

2 votes

GARCH fit: "failure to achieve convergence"... a problem?

answered Sep 4, 2018 at 18:47

4 votes

Accepted

Does predictability in a VAR process imply mean reversion or momentum?

answered Aug 31, 2018 at 20:51

6 votes

Accepted

Definition of Arbitrage

answered Aug 16, 2018 at 17:00

2 votes

Accepted

Sequential Optimization

answered Aug 2, 2018 at 22:46

2 votes

Portfolio optimization with non-linear cost

answered Jul 30, 2018 at 16:23

1 vote

Interpretation of Excess Return

answered Jul 2, 2018 at 16:45

5 votes

In the "betting against beta" paper, what exactly is the "BAB factor"?

answered Jun 5, 2018 at 17:40

1 vote

Where does this proof use the fact that the consumption level is positive?

answered Jun 5, 2018 at 16:40

6 votes

Accepted

how to treat NA values in Compustat and CRSP

answered Jun 4, 2018 at 21:30

Stack Exchange Network

110 Answers

Fama-French factor model: why mimicking portfolios?

GMM estimation of the CAPM: why not include sample mean of the market excess return as a moment?

Definition and estimation of $\beta$: raw or excess returns?

Why estimate the (known) market return in the cross-sectional regression of Fama-MacBeth?

mean-variance optimization === max sharpe ratio portfolio?

Value factor from Ken French's library

Are Fama-French returns in percentages?

Is this quadratic form the Sharpe ratio?

Carhart 4-Factor Model intercept interpretation

Is it possible to adapt Fama French Model with a 6 factor Model?

How to perform cross-sectional asset pricing regression?

Maximum Sharpe portfolio (no short selling restrictions)

A positive Sharpe ratio when portfolio loses money, can that happen or bug in my code?

Can the historical probability be the same as the risk neutral probability measure?

Fama French 3 model factors for German equities

Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?

Markowitz optimization - can two sets of returns produce the same set of weights?

What does risk tolerance represent for utility-maximizing optimization with linear constraints?

Is there a proxy for S&P 500 market/pricing inefficiency?

Kurtosis in GARCH

sharpe ratio from regression

GARCH fit: "failure to achieve convergence"... a problem?

Does predictability in a VAR process imply mean reversion or momentum?

Definition of Arbitrage

Sequential Optimization

Portfolio optimization with non-linear cost

Interpretation of Excess Return

In the "betting against beta" paper, what exactly is the "BAB factor"?

Where does this proof use the fact that the consumption level is positive?

how to treat NA values in Compustat and CRSP