<t>In the paper, "On the properties of equally-weighted risk contributions portfolios, authors Maillard, Roncalli and Teiletche give a numerical solution for computing the weights of an ERC-based portfolio. I've two questions that I need some assistance with- 1) How do I introduce leverage in their ...

<t>In the paper, "On the properties of equally-weighted risk contributions portfolios, authors Maillard, Roncalli and Teiletche give a numerical solution for computing the weights of an ERC-based portfolio. I've two questions that I need some assistance with- 1) How do I introduce leverage in their ...

<t>Hello - If I want to compute key rate durations at certain points on the curve for a bond or a portfolio, it seems to me that I can run a regression with bond/portfolio price series as the dependent variable and yield series of the key rate(s) as the independent variable(s) to compute the factors...

<t>Thank you, I was leaning towards using a relabelling process as well. It seems like that the optimization process and direction of convergence determines the nature of the regimes, but I cannot seem to find any discussion on that. Do you have any thoughts on what in the whole evaluation process d...

<t>Hello - I have been using Markov Regime Switching GARCH models (only 2 regimes - high and low vol regimes), and during daily runs over a period of time, I noticed that I cannot control which regime should high or low. For example, I'd like to ensure that regime 1 is always the high vol regime but...