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Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn
  • Member for 8 years, 2 months
  • Last seen this week
12 votes
Accepted

Fama-French factor model: why mimicking portfolios?

2 votes
Accepted

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

1 vote
Accepted

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

2 votes
Accepted

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

4 votes

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

3 votes
Accepted

Value factor from Ken French's library

5 votes
Accepted

Are Fama-French returns in percentages?

5 votes
Accepted

Is this quadratic form the Sharpe ratio?

3 votes

Carhart 4-Factor Model intercept interpretation

4 votes

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

7 votes
Accepted

How to perform cross-sectional asset pricing regression?

12 votes

Maximum Sharpe portfolio (no short selling restrictions)

3 votes
Accepted

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

3 votes

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

3 votes

Fama French 3 model factors for German equities

24 votes

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

4 votes
Accepted

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

4 votes

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

6 votes

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

10 votes
Accepted

Kurtosis in GARCH

2 votes

sharpe ratio from regression

2 votes

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

4 votes
Accepted

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

6 votes
Accepted

Definition of Arbitrage

2 votes
Accepted

Sequential Optimization

2 votes

Portfolio optimization with non-linear cost

1 vote

Interpretation of Excess Return

5 votes

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

1 vote

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

6 votes
Accepted

how to treat NA values in Compustat and CRSP