How about stock prices, interest rates and foreign exchange rates for starters? Personally, I'd go for interest rates, as the time series are really easy to find...

<t>I have another problem. I'm having trouble proving that the VaR methodology mentioned above yields the same result as: VaR= SQRT(VaRx' R VaRx) , where VaR is the portfolio Value-at-Risk, Varx is a column vector of the individual VaR's, measured as described above (only with a weight of 1, obvious...

<t>If you check the thread entitled 'my VaR methdodlogy' by myself , you'll see that Aaron suggests mapping individual instruments to market factors, because those will produce more stable variance/cvariance matrices. Now for MC sims, those are obviously irrelevant, as you're not going to use them. ...

<t>@sam: all the things you mentioned are correct. As for the time horizon, I have taken that into account. I didn't mention it because it seemed so logical. But it IS important, so you're absolutely right. As for using the log returns; I did that becaues according to the RiskMetrics technical doc "...

Nobody? Just a 'yes, that's right' or a 'no, step x is wrong' would be helpful. I'm in doubt here....

Okay, thanks a lot! Will be buying that book shortly....

<t>Well, it's not MY VaR methodology, just the one I use for simple projects...From what I've gathered, the variance-covariance approach could be summarized in the following steps (nuts-and-bolts work here really):1)obtain historical prices2)calculate the log returns and test for normality. If norma...

Does anyone know of a free program that will calculate efficient portfolios according to CAPM? I'm only looking to use it for about 30 stocks, so it doesn't have to be all that complex...

<t>Say, to hammer LTCM just a bit more, there's something very interesting that Roger Lowenstein wrote in his book about the fund. It was something like this:<br/> <br/> 'When you're this big, all liquidity dries up.' Which means that the assumption of liquid markets goes straight out the window whe...

<t>See guys that's the huge advantage of living in Belgium! They got all the beer you can imagine, and more at that! But I'd have to say that the best beer to me is Grimbergen. (Which, incidentally and wholly unintentionally, is the town I come from.) They have a blond, brown and a delicious triple....