skoestlmeier
• Member for 4 years, 3 months
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It is correct to use the geometric return. Calculating the factors for the last 3 months following $$r_{\mathrm{3month}} = \left( \prod_{1\le i \le3} \left(\frac{\mathrm{factor}_i}{100} + 1\right) - ... View answer 2 answers votes 302 views 1 votes The values for VaR and CF-VaR are the time-series means for each cross-sectional values. As mentioned in the table description, you calculate both variables for each month from Jan. 1995 to Dec. ... View answer 1 answers votes 1k views Accepted answer 1 votes Short answer: Your conversion from Macaulay Duration MacD to the mod. Duration ModD is correct, but your statement [...] which is % as well. is incorrect. Continuous time MacD is defined as$$...

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Short answer: This 'portfolio sort' is rather a common approach in empirical finance research, than a portfolio strategy. Your mentioned strategy is called 'portfolio analysis' or in more detail a '...

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A practical hint is given by Campbell/Lo/MacKinlay p. 11f.: When returns are measured over short intervals of time, and are therefore close to zero, the continuously compounded return on a ...

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Preliminary: I assume from your previous post, that you are using Thomson Reuters Datastream. There are several additional parameters available on your Datatypes. Let's for example look at the ...

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Time horizon The mean-variance framework is based on a single time period of investment, i.e. you assume the same investment horizon $T$ for all investors (which can be one year, or any other period ...

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