Search results

Hi All, Hi David, I would like to reach out with a perhaps very straightforward/easy question but I want to be reassured about the following: Linearity of the OLS regression is not one of the Gauss-Markov conditions, however, non-linearity often happens in fields like labour economics: age vs...

Even if this is not the final solution to the question, but Derman writes: 'Why are we interested in jump models? Because we observe jumps in reality. Most security prices don’t just diffuse smoothly as time passes; their movements are punctuated by jumps. Stocks and indexes definitely jump...

E. Derman has written a book called 'Volatility Smile' last year. I will check and see whether there is something valuable in there with regard to your question.

I am quoting @David Harper CFA FRM here (post back in 2012) even if I would like to know more about this myself: Hi sassing, good point. The study note should be revised because it is trying to capture (summarize) two separate points by Hull (it is unclear which the AIMs means to refer to) ...

Hi @Nicole Seaman, many thanks! I would like to go with the Amazon gift card please.

The BT questions are indeed and undoubtedly better (not mentioning the forum support!) but not always trickier (if we wanna call it like this). It is self-explanatory that the term 'tricky' itself is a fine line and has to be defined by everyone him-/herself. In short, to put things into...

I slightly disagree with this @Nicole Seaman. I have encountered exam questions much harder than some BT questions. Most BT questions do require more calculation etc. for sure and go into some (excellent) level of technical detail (which is much appreciated for the eager learners, but most of...

I see, thanks @Matthew Graves! As he was not pointing towards this and I have not had the Meissner book at hand the explanation makes sense. Apparently he then has standard deviation in dollar terms. Quite unusual actually but if the the computation is water-proof then I am happy with this...

Dont know where you have these figures (page in Meissner's book!) but the standard portfolio variance formula (for 2 assets) with your given data yields: weights: 8 mil + 4 mil = 12 mil Asset A = 8/12 = 0,66 Asset B = 4/12 = 0,33 sigma^2 (portfolio) = 0,66^2* 0,015^2 + 0,33^2*0,02 +...

Has anyone already received his/her final certificate (in Europe)? They said they will send them out in March.

In this case yes because the sum equals to a straight number (100), otherwise: $Value Asset (A)/Total $Value of the Porfolio = weight of Asset (A) $Value Asset (B)/Total $Value of the Porfolio = weight of Asset (B)

Do you have some more information about this question please otherwise it is hard to help you with this. If you have no weights and I usually assume you have 50/50 among the two assets. How do you wanna compute weights if you have no information?

Excellent! It is the first link I was looking for, David. Thank you for your help with this!

Thanks for sharing @berrymucho! If someone can still help with the practice question about geometric/arithmetic average, it would be perfect.

I will not distribute any spreadsheets to single persons. If there are some further questions to the theory, please ask them here in the forum. In case you are in dire need of some spreadsheets about VaR etc. I do recommend the following which comes with a full bunch of spreadsheets: Simon...

give me some time please!

Hi David,I I remember most probably from Part I that there is practice question asking something about the relationship between Rgeometric = ln ( 1 + Rarithmetic). If I remember it correclty, it is given in an equation form ................... but I simply do not remember where in the question...

Hi @Hassan2016, I will come up with a detailed explanation about several options you can choose from when calculating ES in Excel. This is always a great exercise for me as well to remind me of the concepts. Thanks for asking this type of question. Remember that we are interested in the...

Hi Nicole, many thanks for the award. Big pleasure where I think my input is of value-added to others. I do go for the Amazon gift card again. Thank you!

Brilliant stuff, David! These exchanges make the forum and interaction with you so unique! (By the way, this smoothting/unsmoothing topic has been briefly touched on in the after-exam Part II post Nov 2016 created by Nicole as well.) Andrew Ang is definitely the! representative and most...