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seen Apr 10 at 17:20

Apr
4
revised How to compare different volatility measures?
otherwise it would be off topic
Apr
3
comment What are some different methods for calculating hedge ratios for multiple leg spreads?
Do you mean "hedge ratio"?
Apr
3
comment Why is delta-hedging of ATM options near expiry difficult to do?
Why is this closed? There is a scientific explanation to this question, as the delta of ATM options close to expiry becomes binary.
Apr
3
answered How can I use PCA to determine spread ratios for multiple legs?
Apr
3
comment What are some different methods for calculating hedge ratios for multiple leg spreads?
which "ratios" do you mean?
Apr
3
revised what is the vol in the BS formula?
added 65 characters in body
Apr
3
asked what is the vol in the BS formula?
Feb
1
awarded  Yearling
May
26
awarded  Popular Question
May
13
awarded  Popular Question
Feb
1
awarded  Yearling
Sep
19
awarded  Popular Question
Aug
15
awarded  Nice Question
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
Thank you very much, this is very insightful
Aug
14
accepted portfolio optimisation with VaR (or CVaR) constraints
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
it seems that even though CVXOPT is open source, it only contains interfaces to the solvers in MOSEK, which is not open source.
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
Thanks for your input, makes sense. What about $r_{ij}$ ? The return of asset $i$ in simulation $j$ ? Do you really have to simulate them or can you take simply the past ones? i would like to avoid modelling the returns, as it could create errors (bad tail correlation estimation etc.) Now if you need 10,000 of them I understand you have to simulate. But is it not dangerous?
Aug
14
comment portfolio optimisation with VaR (or CVaR) constraints
If I am not wrong these $m$ are the Monte Carlo simulations that @David Nehme is mentioning in his answer. I guess $m$ has to be high enough. 1000? 2000? Do you have an idea?
Aug
13
comment portfolio optimisation with VaR (or CVaR) constraints
The second link seems very interesting, thanks. I have read carefully the paper. however, I truggle to understand how they replace the expectancy that is in formula (9) page 8, with a sum over $j$. What are these $r_{ij}$ and what is $m$? Apart from that, the solution is quite elegant... Can be solved with a very standard optimizer.
Aug
13
comment portfolio optimisation with VaR (or CVaR) constraints
+Alexey, do you have this ebook "Portfolio Optimization with R/Rmetrics"? On the google preview at page 333 it seems that I read that quadratic constraints are treated in the other ebook "Advanced Portfolio Optimization with R/Rmetrics" If you have the book, can you confirm if there are such examples? books.google.com.sg/…