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visits member for 3 years, 2 months
seen Apr 10 at 17:20

Aug
13
comment How to normalize different instruments by volatility?
not sure what your discussion on quants really brings to Freewind's question. Sounds like a useless digression.
Aug
13
revised portfolio optimisation with VaR (or CVaR) constraints
edited title
Aug
12
awarded  Popular Question
Aug
10
comment portfolio optimisation with VaR (or CVaR) constraints
indeed. I need quadratic constraints. The objective function is linear but the VaR constraint is definitely quadratic. Will have a look at your link. Thanks
Aug
10
comment portfolio optimisation with VaR (or CVaR) constraints
@BobJansen I have several VaR constraints on several groups of assets in my portfolio. I cannot manually adjust every day the expected returns of all my assets to ensure the VaR constraints. Ideally I would have to model the constraint in the optimization problem.
Aug
10
asked portfolio optimisation with VaR (or CVaR) constraints
Apr
18
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Thank you for enhancing your answer, I appreciate reading it a lot.
Apr
18
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
When you say "Why is this the market factor? If you examine the weights (factor loadings) of the first eigenvector in a histogram you will find they are generally all of the same sign whereas this is not the case for any of the subsequent eigenvectors", I am not convinced by this argument. I agree that the among all PCA components, the first one is the most representative of the market, but maybe there is another set of weights that is better than this one.
Feb
10
comment How to compute performance attribution between daily rebalanced strategies?
interesting idea
Feb
10
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
I still think it is very accurate to say that "PCA is maximizing the variance". PCA weights can be found by formulating the problem as a max of the variance under constaint
Feb
10
accepted Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Feb
10
accepted Obtaining characteristics of stochastic model solution
Feb
4
asked How to compute performance attribution between daily rebalanced strategies?
Feb
1
comment How to hedge against lack of volatility
some trading strategies perform better when there is high volatility. Hence hedging against low volatility can makes sense.
Feb
1
awarded  Yearling
Jan
11
comment Has high frequency trading (HFT) been a net benefit or cost to society?
It definitely has been a benefit for exhanges, that have made millions in trading fees
Jan
5
answered How do you remove expected returns from asset allocation strategies?
Jan
3
comment Why a self-financing replicating portfolio should always exist?
in theory, yes, but then you need to readjust your position dynamically intraday and very often the cost and slippage of this replication will be so high that in practice it doesn't work.
Jan
2
comment What is the intuition behind cointegration?
@user40 A Drunk, Her Dog and A Boyfriend econ.canterbury.ac.nz/downloads/amstat.pdf
Jan
2
revised Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
removed comment in the question