Skip to main content
Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn's user avatar
Matthew Gunn
  • Member for 8 years, 1 month
  • Last seen this week
6 votes

Drift rate vs. Riskless rate in the Black-Scholes model

6 votes

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

6 votes
Accepted

Markowitz; risky asset frontier w/o risk free asset

6 votes
Accepted

how to treat NA values in Compustat and CRSP

6 votes
Accepted

Definition of Arbitrage

5 votes

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

5 votes
Accepted

Finding a minimum variance portfolio when using a regulariser?

5 votes

log return of sp500. Stationary vs strictly stationary

5 votes
Accepted

Is this quadratic form the Sharpe ratio?

5 votes
Accepted

Are Fama-French returns in percentages?

5 votes

Fama/French momentum replication: risk-free rate missing on one of the legs?

5 votes
Accepted

What are the assumptions in the first-stage of Fama-MacBeth (1973)?

5 votes

Logic behind sharpe ratio

5 votes
Accepted

How to calculate Fama-French factors?

4 votes

What are the consequences of violating Hansen-Jagannathan bounds?

4 votes
Accepted

Risk Compensation

4 votes

Calculating fund alpha using Fama-French 3 factor model?

4 votes
Accepted

Economic intuition behind pricing cash flow

4 votes

CAPM Calculations

4 votes

Geometric Brownian Motion: Why is the Wiener process multiplied by volatility?

4 votes
Accepted

How can you determine the correct significance of the Shiller P/E regression?

4 votes

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

4 votes

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

4 votes

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

4 votes
Accepted

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

4 votes

Does the traditional NPV formula of a cashflow double count risk?

4 votes
Accepted

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

3 votes

Is there an intuitive explanation for why Kelly gambling ignores odds?

3 votes

Fama French 3 model factors for German equities

3 votes

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