Quantitative Finance
Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn
  • Member for 7 years, 4 months
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110 Answers

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28 votes
Accepted

What are reasons not to do factor investing in equity markets?

23 votes

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

17 votes

$\mathbb{P}$ vs $\mathbb{Q}$ Probabilities - Transitioning Between Measures

16 votes
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Philosophical Question about Factor Models

15 votes
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Why do trading strategies lose effectiveness over time?

15 votes

What is the difference between risk neutral probabilities and stochastic discount factor?

13 votes

Choosing the right statistical test for Mutual Fund Performance Evaluation

13 votes
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Data for the Tulip mania

13 votes
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cvxpy portfolio optimization with risk budgeting

13 votes
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Calculating alpha and its meaning

13 votes
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Cochrane on Return Predictability

12 votes

Fama Mac-Beth (1973) vs Fixed effect

12 votes

Maximum Sharpe portfolio (no short selling restrictions)

11 votes
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how to interpret the GRS F test values?

11 votes
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What is an adapted process

10 votes
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Does the existence of anomalies disprove the efficient markets hypotheses?

10 votes
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Kurtosis in GARCH

10 votes

Deciding how many trades to make

9 votes
Accepted

Fama-French factor model: why mimicking portfolios?

9 votes
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Portfolio Risk Decomposition - different methodologies

8 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

8 votes
Accepted

How high can Beta be in CAPM?

8 votes

Financial economics vs finance

8 votes

non-subadditivity of VaR

8 votes

What is a central bank's shadow rate

8 votes
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CAPM model as a regression

7 votes
Accepted

How to perform cross-sectional asset pricing regression?

7 votes
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The dice game and derivatives trading

6 votes
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Generalized Mean Variance Portfolio

6 votes
Accepted

What is the intuition of a spread portfolio and how exactly is it constructed?

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