jasonjfoster.github.io

Risk

A factor model expresses fund returns as exposures to a set of market factors, which can be estimated with regression analysis. To measure the risk of a fund, estimate…

Aug 5, 2026

Risk

A factor model expresses fund returns as exposures to a set of market factors, which can be estimated with regression analysis. To measure the risk of a fund, estimate…

Aug 5, 2026

Eigen

Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal component analysis (PCA). Most empirical studies apply…

Aug 5, 2026

Eigen

Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal component analysis (PCA). Most empirical studies apply…

Aug 5, 2026

Markets

One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…

Aug 5, 2026

Markets

One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…

Aug 5, 2026

Optimization

Need to generate uniformly distributed weights \(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\) such that \(\sum_{i=1}^{N}w_{i}=1\) and \(w_{i}\geq0\):

Aug 5, 2026

Optimization

Need to generate uniformly distributed weights \(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\) such that \(\sum_{i=1}^{N}w_{i}=1\) and \(w_{i}\geq0\):

Aug 5, 2026

Securities

For a given spot price \(S\), strike price \(K\), risk-free rate \(r\), annual dividend yield \(q\), time-to-maturity \(\tau = T - t\), and volatility \(\sigma\):

Aug 5, 2026

Securities

For a given spot price \(S\), strike price \(K\), risk-free rate \(r\), annual dividend yield \(q\), time-to-maturity \(\tau = T - t\), and volatility \(\sigma\):

Aug 5, 2026

Statistics

Aug 5, 2026