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Variance is concave, so portfolio risk must be too. The mean-variance model employs quadratic programming to optimize (minimize) portfolio risk. My understanding is that quadratic programming requires a convex...

Asked on 12/04/2020

2Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost...

Asked on 12/03/2020 by Henrique Ramos

3I'm simulating the option prices every month using the Heston Model. The option contract expires at the of the month and the next option contract start the day after the...

Asked on 11/30/2020 by user324313

1I am trying to get my head around the CAPM model and all the intricacies of portfolio management. I have written some code to help me visualise what happens to...

Asked on 11/28/2020 by Andy

2If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?...

Asked on 11/28/2020 by develarist

0Assuming I have a stochastic volatility model for an asset, if I wanted to use it for pricing I would proceed in the following way:Use Euler discretization to simulate a...

Asked on 11/27/2020 by therealcode

1I am doing research on analyst recommendations on Finnish stock market, using Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns by Barber etc. as reference paper....

Asked on 11/26/2020 by Mr Sandwich

0For a CIR process, which has SDE$$dr_t = alpha (mu - r_t) dt + sigma sqrt{r_t} dW_t$$how can I derive the increments over the discrete...

Asked on 11/19/2020 by John Smith

1Empirical studies have shown that market impact can be linked to the following parameters: $$ mathcal{I}(Q) = kappa . sigma ...

Asked on 11/12/2020 by mbz0

1I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the...

Asked on 10/21/2020 by Kiann

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