JeanGuillaume
• Member for 3 years, 5 months
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• Paris

In my opinion, factor timing is a field of active management where, indeed, you try to anticipate the performances of factors. For instance, growth stocks will outperform during economic expansion ...

In theory, we do not suppose there are transaction costs (or costs for short selling or even buying a security). In practice, effectively, you will have to pay the people that lend you the security ...

To compute the correlation between the stock return (let us say $R_X$) and the market return $R_M$, you just write: $\rho_{R_X,R_M} = \frac{Cov(R_X,R_M) }{\sigma_{R_X}\sigma_{R_M}} = \frac{Cov(R_X, \... View answer Accepted answer 0 votes Let us start from the definition of the$VAR_{\alpha}$at level$\alpha$. We denote by$R_P$the random variable representing the absolute return of the portfolio (difference in value of$P$between ... View answer 3 votes You can look at the contents of the CFA institute : https://blogs.cfainstitute.org/insideinvesting/2013/01/23/how-much-does-apple-make-a-dupont-analysis/ . As there are more and more candidates and ... View answer 3 votes Ok, I found a solution ! So, we are starting from$(x_i\sigma_i - x_j\sigma_j)((x_i\sigma_i + x_j\sigma_j)(1 - \rho) + \rho\sum_k x_k \sigma_k) = 0 $and we will show that the elements in the ... View answer 1 votes To answer this question, you need to know how forward prices are derived : non arbitrage argument. Thanks to it, we will show that we necessarily have$ F_T = S_0e^{rT} $where$F_T$is the price of ... View answer 0 votes That means that to determine the price of a security by non arbitrage you can either find the strategy that will hedge your short position ( when you sold an option) or you can find the strategy that ... View answer Accepted answer 5 votes When interest rates go up, there are two effects that explain the positive link with the increase in the price of a call option (according to Hull). There is the quote: " As interest rates in the ... View answer 1 votes Do you have correctly formulated the problem for the solver ? If you want to maximise a function (the sharpe ratio)$f$, it is equivalent to minimise$-f\$. This kind of confusion (minimising instead ...