User Matthew Gunn

6 votes

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

answered Jun 28, 2017 at 15:42

6 votes

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

answered Oct 8, 2018 at 20:20

6 votes

Accepted

how to treat NA values in Compustat and CRSP

answered Jun 4, 2018 at 21:30

6 votes

Accepted

Definition of Arbitrage

answered Aug 16, 2018 at 17:00

5 votes

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

answered Jun 5, 2018 at 17:40

5 votes

Accepted

Markowitz; risky asset frontier w/o risk free asset

answered May 29, 2018 at 3:54

5 votes

Accepted

Finding a minimum variance portfolio when using a regulariser?

answered Feb 2, 2018 at 14:50

5 votes

log return of sp500. Stationary vs strictly stationary

answered Feb 3, 2018 at 18:54

5 votes

Accepted

Is this quadratic form the Sharpe ratio?

answered Jan 5, 2022 at 18:57

5 votes

Accepted

Are Fama-French returns in percentages?

answered Feb 10, 2022 at 16:12

5 votes

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

answered Jun 10, 2017 at 0:36

5 votes

Accepted

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

answered May 11, 2017 at 0:52

5 votes

Logic behind sharpe ratio

answered Dec 7, 2017 at 15:58

4 votes

Accepted

Risk Compensation

answered Dec 15, 2017 at 17:04

4 votes

Calculating fund alpha using Fama-French 3 factor model?

answered Jan 25, 2018 at 15:21

4 votes

Accepted

Economic intuition behind pricing cash flow

answered Nov 25, 2017 at 16:10

4 votes

Accepted

How to calculate Fama-French factors?

answered Aug 22, 2017 at 21:35

4 votes

CAPM Calculations

answered May 4, 2017 at 15:45

4 votes

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

answered Jul 11, 2017 at 1:49

4 votes

Accepted

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

answered Jul 21, 2017 at 18:28

4 votes

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

answered Nov 7, 2022 at 16:36

4 votes

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

answered May 21, 2019 at 15:54

4 votes

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

answered Nov 1, 2018 at 16:44

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

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

answered Feb 8, 2018 at 17:57

4 votes

Accepted

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

answered Aug 31, 2018 at 20:51

3 votes

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

answered Mar 8, 2018 at 22:55

3 votes

Fama French 3 model factors for German equities

answered Jan 9, 2019 at 16:33

3 votes

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

answered Jan 10, 2019 at 20:16

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

Stack Exchange Network

110 Answers

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

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

how to treat NA values in Compustat and CRSP

Definition of Arbitrage

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

Markowitz; risky asset frontier w/o risk free asset

Finding a minimum variance portfolio when using a regulariser?

log return of sp500. Stationary vs strictly stationary

Is this quadratic form the Sharpe ratio?

Are Fama-French returns in percentages?

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

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

Logic behind sharpe ratio

Risk Compensation

Calculating fund alpha using Fama-French 3 factor model?

Economic intuition behind pricing cash flow

How to calculate Fama-French factors?

CAPM Calculations

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

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

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

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

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

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

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

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

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

Fama French 3 model factors for German equities

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

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