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I have a fixed income portfolio built up in the Yieldbook and BBG Port.However due to some bad performance of my portfolio compared to the benchmark I would like...

Asked on 11/21/2021 by Luigi87

0In his book, "Why Stock Markets Crash", Didier Sornette discusses a trading strategy that exploits return correlations.Consider a return $r$ that occurred at time $t$ and a return $r'$ that...

Asked on 11/17/2021 by joshwa

2I am currently trying to find the portfolio weights of the Maximum Diversification Portfolio and found two approaches which result in different outcomes. The first one is based on this...

Asked on 11/17/2021 by Dirty Dan

1I have know there are many factors , they can divied into several groups in my opiniongroup 1 are some factors called P/E , P/B, ROE .... ,...

Asked on 11/17/2021

0My question is about credit spreads and the corresponding probability of default (PD).One of the most simple relations between credit spreads and PDs is (see e.g. ch7 in Malz(2011))...

Asked on 11/15/2021 by Cettt

1In finance, alternative risk measures such as value-at-risk (VaR) and GARCH are introduced as replacements to standard deviation volatility. Is there any application or value where several risk estimators or...

Asked on 11/15/2021

1Consider the case where at t=0, I calibrate my model to the market, but at t=1 my model is no longer able to recover the price in the market, so...

Asked on 11/13/2021

1I'm doing some academic work on volatility forecasting. I've got 1-minute bar data. It is not clear to me what model is best suited for forecasting volatility when higher frequency...

Asked on 11/13/2021

0I was wondering how farmers use futures when they have a production ability but cannot sell what they produced ? Is the exchange not used for physically delivering products, then...

Asked on 11/13/2021

1Let's say we are working with the standard Fama-French 3 factor model and we want to add a low volatility factor. Is it alright to add a low volatility risk...

Asked on 11/13/2021 by Circus_beta

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