Publications by R on OSM
GARCHery
In our last post, we discussed using the historical average return as one method for setting capital market expectations prior to constructing a satisfactory portfolio. We glossed over setting expectations for future volatility, mainly because it is such a thorny issue. However, we read an excellent tutorial on GARCH models that inspired us at le...
11332 sym R (7003 sym/1 pcs) 10 img 4 tbl
GARCHery
In our last post, we discussed using the historical average return as one method for setting capital market expectations prior to constructing a satisfactory portfolio. We glossed over setting expectations for future volatility, mainly because it is such a thorny issue. However, we read an excellent tutorial on GARCH models that inspired us at le...
11332 sym R (7003 sym/1 pcs) 10 img 4 tbl
Discounted expectations
After our little detour into GARCHery, we’re back to discuss capital market expectations. In Mean expectations, we examined using the historical average return to set return expectations when constructing a portfolio. We noted hurdles to this approach due to factors like non-normal distributions, serial correlation, and ultra-wide confidence in...
14947 sym R (10239 sym/1 pcs) 14 img 4 tbl
Discounted expectations
After our little detour into GARCHery, we’re back to discuss capital market expectations. In Mean expectations, we examined using the historical average return to set return expectations when constructing a portfolio. We noted hurdles to this approach due to factors like non-normal distributions, serial correlation, and ultra-wide confidence in...
14947 sym R (10239 sym/1 pcs) 14 img 4 tbl
Risk premia
Our last post discussed using the discounted cash flow model (DCF) as a method to set return expectations that one would ultimately employ in building a satisfactory portfolio. We noted that if one were able to have a reasonably good estimate of the cash flow growth rate of an asset, then it would be relatively straightforward to calculate the re...
15058 sym R (6268 sym/1 pcs) 6 img 4 tbl
Risk premia
Our last post discussed using the discounted cash flow model (DCF) as a method to set return expectations that one would ultimately employ in building a satisfactory portfolio. We noted that if one were able to have a reasonably good estimate of the cash flow growth rate of an asset, then it would be relatively straightforward to calculate the re...
15058 sym R (6268 sym/1 pcs) 6 img 4 tbl
Machined risk premia
Over the last few posts, we’ve discussed methods to set return expectations to construct a satisfactory portfolio. These methods are historical averages, discounted cash flow models, and risk premia. our last post, focused on the third method: risk premia. Using the Capital Asset Pricing Model (CAPM) one can derive the required return for a par...
9322 sym R (5566 sym/1 pcs) 8 img 1 tbl
Machined risk premia
Over the last few posts, we’ve discussed methods to set return expectations to construct a satisfactory portfolio. These methods are historical averages, discounted cash flow models, and risk premia. our last post, focused on the third method: risk premia. Using the Capital Asset Pricing Model (CAPM) one can derive the required return for a par...
9322 sym R (5566 sym/1 pcs) 8 img 1 tbl
Implied risk premia
In our last post, we applied machine learning to the Capital Aset Pricing Model (CAPM) to try to predict future returns for the S&P 500. This analysis was part of our overall project to analyze the various methods to set return expectations when seeking to build a satisfactory portfolio. Others include historical averages and discounted cash flow...
11188 sym R (16888 sym/2 pcs) 16 img 6 tbl
Implied risk premia
In our last post, we applied machine learning to the Capital Aset Pricing Model (CAPM) to try to predict future returns for the S&P 500. This analysis was part of our overall project to analyze the various methods to set return expectations when seeking to build a satisfactory portfolio. Others include historical averages and discounted cash flow...
11188 sym R (16813 sym/2 pcs) 16 img 6 tbl