<t>Hi guys. Topic is clear. Quantile regression finds its way to finance. There are too many topics of VaR estimation with Qantile regression method.What I'm trying to find is any usage of this method in CAPM ro APT theory (in spite of OLS) .Help me with your useful idea's or if you find good papers...

<t>Hi everyoneI'm searching for new area of research and newely puplished papers in financial engeneering and quantitative finance which used regression methods(or time series analysis) for my university project. It have to be regression (prefered) or TSI and it have to be in the field of QF or FE. ...

<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: vocianBut even positive correlated commodities and securities do the job(diversification).do u mean byuing sugar on the farm and selling it neighborhood?Your income is an equity. It's an asset of your portfolio (total wealth). you can ...

Finding a negative correlated commodities with income is the best answer. but even shorting your companyes stock wouldn't do that. But even positive correlated commodities and securities do the job(diversification).

<t>If you invest in your company you increased your Risk but it's likely that your net income is also increased (becuse of correlation and tax reduction)Also who better than you knows what happens in your companny. you have better and faster informationbtw beautiful healty woman is the far best hedg...

<t>summation of all VaR is an upperbond and also zero is lower bond. the problem is in reality Risk(in this case VaR of portfolio) is far far away from zero or summation of all VaR . If you tried to use summation you overpredict the risk and that force you to use too much resource to hedge it. spend...

<t>I suppose there is no good in it if you can't hedge accumulative risk properly. As you know there are far diffrent strategy for hedging each risk and they can't apply completely together. For example if you want to hedge long credit risk you have to use opposite position with precalculate ratio (...