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Hi David, I am having problems relating Absolute VaR definition with Delta-Gamma VaR definition. For example, for a Derivative: Absolute VaR = -u*T + volatility(S)*delta*SQRT(T)*Z = -u*T + volatility(c)*SQRT(T)*Z Delta-Gamma VaR = Ac = delta*AS + 1/2 *Gamma*AS^2 I think I understand each...

Hi, I am doing the exercises corresponding to ELTON, MODERN PORTFOLIO THEORY, CHAPTER 13. From time to time, I try to check the link to the forum shown after the answers. None seems to work. Thanks.

Hi, I am going through the excel sheet (R8-P1-T1-Elton-CAPM-v3) in section 9, and I saw the formula to find out Wa for the Minimum variance portfolio. It is not very intuitive to see that that formula is the 1st derivative of the portfolio variance with respect Wa. I know the formula is not part...