Hi all,just a short question: European community applies Mifid regulatory about (among arguments) how managing client's risk and information to provide.Is the something similar to Mifid also for Asian markets?If yes, could you please let me know ?thankx a lot

Great idea janickg!It's a solution I'll consider.At the moment, I've selected the stocks cover 75% of the index, so I've gota new portfolio of only 460 stocks. I've used it as input.

<t>Hi,I've to find an optimal portfolio compared to a risk target.Some years ago I studied Markowitz approach by whichI find an optimal weight vector (nx1) portfolio.Now my stocks come from Msci World Index that has gotabout 1800 stocks.. and they are too many for my portfolio.I'm looking for a meth...

<t>sorry.. you're right Lepperbe..Another approach to the problem refers to a portfolio (usd currency based) case : it's based on NAV value.That is, comebody told me that I could apply the Euro/usd change on the NAV value.So, if I'd want to compute performance in euro on a portfolio which is usd dol...

<t>Hi, my problem refers to performance computing.That is, for exampe, I've got a stock (Apple - usd dollar priced).Well, if today Apple performance is -0.176%, and euro/usd performance is 0.72%,Apple performance in euro is computed as follow: (1-0.176%) * (1+0.72%) - 1 = -0.897%.Another way somebod...

thank a lot gsrikanth for your indications !

<t>What's the difference between computing Var on a portfoliothat has got long and short positions in futures and stocks, and Var on a longportfolio and on a short portfolio ( that is, after breaking theportofolio in other two porfolios )?In the last case, you consider only the notional value aboutt...

<t>>standar deviation * Position * 1.645 (or 2.33) * sqrt(252) Well.. done. But the problem now is about a future in USD andI'm based in Euro.I've computed Var as: 1.645 (or 2.33)* sqrt(252)* Position* radq(Volatility)where Volatility = variance(Future)+variance(Euro/$)-2*cov(future, Euro/$)Future t...

So you'd do the Var computation as: standar deviation * Position * 1.645 (or 2.33) * sqrt(252) if I've seen through..

<t>Hi,I've to compute Var on a equity index future.Var horizon = 1 yearPosition (that is: future price * n° contracts * tick ) is 130,000.00 euro.Margin = 10,000.00 euro.Do I have to compute 1 year time serie return on the future price and then computestandard deviation, and then standar deviation *...

It's right 0.38% htmlballsup.The problem is about at the time the provider refers to the change euro/us dollar,I was looking at the official closing price but it wasn't the right one...

The index is computed by Msci and it's for the European mkt and I'm looking at the index return.In fact the performances are daily (01.16.'06 on 01.13.'06)...

Well, euro/dollar performance is from bloomberg (I computed it by "last price"),and the idex performance is from msci site. The euro/dollar performance could differ between the two provider, but not too much I think.

<t>Hi guys,well, I've got to compute an index performance, so my problem concernthe currency...For example, looking at an index, its perfomance in euro is: 0.389% (on a day), and the same index in us dollars has got a perfomance as : 0.764%.Well, if euro performance (vs. us dollar) is : -0.14% , how...

<t>Hi Gee,Sorry..now I explain my problems better, I hope.At first, my aim's to predict future stock price by a linear (lagged) model (AR(p)).I use the daily return time series and 2 lags.My problem's about white noise component: it's a casual number from a N(0,1).I've liked to do a more "realistic"...