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| age | ||
| visits | member for | 1 year, 10 months |
| seen | Feb 22 at 11:56 | |
| stats | profile views | 781 |
Now I think my display name is cool！Let's keep it ;)
Google+ http://gplus.to/csyang
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Sep 16 |
revised |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative added 184 characters in body |
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Sep 15 |
revised |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative added 84 characters in body |
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Sep 15 |
revised |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative added 84 characters in body |
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Sep 15 |
awarded | Critic |
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Sep 15 |
comment |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative Hello Tal, please keep your bounty. I am teasing myself :) As for your question, in my opinion, once you have sound underlying dynamics, replicating is trivial. To myself, my answer is complete enough, i.e. the information I suggest here is enough to solve vonjd's questions. |
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Sep 15 |
revised |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative added 104 characters in body |
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Sep 15 |
comment |
Duality between constant rebalanced portfolio (CRP) and corresponding derivative Oh? The bounty reward was given away while I am posting my answer? I remember there are still few hours to go before the bounty deadline? :) Too bad I just back from a vocation! |
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Sep 15 |
answered | Duality between constant rebalanced portfolio (CRP) and corresponding derivative |
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Aug 24 |
comment |
Proof that you cannot beat a random walk Second, there is no contradiction to the common sense that 'pure independence = zero E[PnL]'. E[] > 0 in my example and your Parrondo's paradox is indeed exploited from sort of dependency. While Parrondo exploits the dependency between two losing games, mine is exploiting the dependency on my losing trades (which is less obvious). But (warn again), this is at cost of ruin risk! Note that Kelly/Vol-pump eliminate ruin risk, but still suffer tail risk. Conclusion? Find dependency had better, create it if you must. |
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Aug 24 |
comment |
Proof that you cannot beat a random walk Thank you for accepting the answer, vonjd. I also like the analogy you found in Parrondo paradox. Though not sure how to answer your questions? here is my attempt: First, all mentioned strategies propose to add(cut) risk exposure when lose(win). For example, if you long stock and you lose/gain 1 dollar when market moves, kelly or vol-pump will require you buy/sell in order to maintain constant betting ratio. This makes volatility your friend (pumping). But trend is your enemy! In this case, is random walk more like your enemy or your friend? |
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Aug 22 |
revised |
Proof that you cannot beat a random walk added 53 characters in body |
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Aug 20 |
revised |
How do I graphically represent the evolution of a covariance matrix over time? Move and merge some comments to the answer |
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Aug 20 |
revised |
Proof that you cannot beat a random walk deleted 26 characters in body |
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Aug 20 |
revised |
Proof that you cannot beat a random walk deleted 26 characters in body |
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Aug 19 |
awarded | Editor |
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Aug 19 |
revised |
Proof that you cannot beat a random walk edited body |
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Aug 19 |
answered | Proof that you cannot beat a random walk |
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Aug 12 |
awarded | Suffrage |
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Aug 8 |
awarded | Supporter |
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Aug 6 |
awarded | Teacher |
