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 Yearling
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Oct
28
answered SABR calibration: simple explanation and implementation
Oct
9
accepted Portfolio Turnover Constraint
Oct
9
revised Portfolio Turnover Constraint
Better Solution
Oct
6
comment Portfolio Turnover Constraint
I have to unmark my own answer. I dont think it is a good solution. Reading through few papars on how to implment this propely. Will update if I complete.
Oct
4
awarded  Scholar
Oct
3
answered Portfolio Turnover Constraint
Oct
2
comment Portfolio Turnover Constraint
the constrain is what I am trying to implement. I will try fmincon and update
Oct
2
asked Portfolio Turnover Constraint
Sep
26
awarded  Informed
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
"Use one instead of other because both are small" . This is not the reason unfortunately
Apr
14
awarded  Student
Apr
14
comment Sampling problem in portfolio optimization
yes exactly this is what I want to achieve
Apr
14
comment Sampling problem in portfolio optimization
Updated the questions . No of bonds are 1000. (not 1000k) . I have already done the filtering you mentioned in A . if we reduce it to 10 bonds even then I want to sample either 1,2,..all 10 bonds such as the constraints and objective is satisfied. Thus I can reduce my problem size but I am stuck with best sampling process to avoid brute force all combinations.
Apr
14
revised Sampling problem in portfolio optimization
number of sec
Apr
14
asked Sampling problem in portfolio optimization
May
29
revised Statistical models for exchange rates?
links moved to hyperlink text for readability
May
29
answered What is the difference between a recovery swap and a CDS?
May
29
suggested approved edit on Statistical models for exchange rates?
Apr
29
answered Black Scholes Formula for Collar Option
Apr
29
comment Black Scholes Formula for Collar Option
@SRXX will do when I reach home. Not a good day at work so far