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Jul
7
comment Typical risk aversion parameter value for mean-variance optimization?
Shouldn't it be "-" the variance term?!?
Jul
7
comment How to numerically obtain delta?
@JohnAndrews: If you liked my answer would you please accept it, otherwise half of the bounty will be lost. Thank you :-)
Jul
4
revised Estimating investor's utility from the trades data
deleted 10 characters in body
Jul
4
answered Estimating investor's utility from the trades data
Jul
4
comment Risk theory is a part of financial mathematics
I would say that the mathematical part of risk management is also part of financial mathematics.
Jul
4
comment Risk theory is a part of financial mathematics
Yes, but only the mathematical part of risk management but as I said risk management comprises also non-mathematical elements.
Jul
4
answered Risk theory is a part of financial mathematics
Jul
4
comment Bracket-Notation in SDEs
Thank you olaker. I edited my answer accordingly for future reference.
Jul
4
revised Bracket-Notation in SDEs
added 9 characters in body
Jul
2
answered Bracket-Notation in SDEs
Jul
1
answered Loading HF stock data into excel
Jul
1
answered How to numerically obtain delta?
Jul
1
comment expected value of the discounted payoff
Where did you find the statement? In which context?
Jun
27
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
@ryeguy: If you found my answer helpful you can upvote and accept it :-) Thank you
Jun
25
revised Indicators and research for stress-based investment strategies
edited title
Jun
25
answered Indicators and research for stress-based investment strategies
Jun
20
comment How to estimate real-world probabilities
+1: Thank you :-)
Jun
20
comment How to estimate real-world probabilities
I am afraid that this - while of course true - doesn't really address the question of the OP: "If I want to estimate the "real world" probability of an asset reaching certain thresholds, which models and alternatives could be used?" So I guess it would be helpful to expand your comment "All you need is a pricing model and a parameter set (which you could estimate or derive from a fit to historical data) and run a simple Monte Carlo simulation."
Jun
20
revised How to estimate real-world probabilities
added 1 characters in body
Jun
20
answered How to estimate real-world probabilities