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Quantitative Finance
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Rik

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fama-french

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9 Questions

Votes Activity Newest Views
1
4
votes
1
answer
93
views

Tangency portfolio with two additional constraints so that portfolio weights are unconstrained

portfolio-optimization optimization mean-variance markowitz
Oct 28 at 5:35 develarist 2,743
 
4
votes
1
answer
616
views

Alpha vs. Sharpe Ratio

factor-models sharpe-ratio fama-french
Sep 30 '19 at 7:18 Bart 144
 
3
votes
1
answer
256
views

How to orthogonalize Fama French factors?

quant-trading-strategies factor-models fama-french factor-investing
Mar 2 at 20:04 noob2 7,561
3
3
votes
4
answers
290
views

Predicting portfolio returns

equities portfolio-management forecasting prediction
Jun 12 '19 at 15:57 develarist 2,743
 
2
votes
1
answer
191
views

Are Fama French Factors market neutral?

factor-models fama-french factor-investing factor-loading
Feb 19 '20 at 16:11 Tim Wilding 1,226
 
2
votes
0
answers
1k
views

Cash-or-nothing and Asset-or-nothing price derivation

options option-pricing black-scholes derivatives exotics
Oct 6 '18 at 17:51 Rik 309
1
1
vote
0
answers
32
views

Why no prepayment fee for the reverse mortgage?

finance-mathematics simulations mbs
Jan 29 '19 at 15:11 Rik 309
 
1
vote
0
answers
41
views

Trading rules: Controlling the portfolio FDR+ level

quant-trading-strategies statistics anomalies bootstrap statistical-significance
May 5 '18 at 20:30 Alex C 8,726
 
0
votes
2
answers
2k
views

Proof Black Scholes Theta

black-scholes derivatives greeks call black-scholes-pde
Nov 23 '18 at 23:07 Community♦ 1
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