359 reputation
26
bio website litvak.eu/pyfi
location
age
visits member for 2 years, 9 months
seen Sep 27 at 16:40

Feb
4
comment Maximization of CARA utility function: unique solution with an unbounded parameter?
@AlexeyKalmykov "you need a budget constraint here for a, otherwise your optimization problem makes no sense" - if $a>w_0$ you can think of it as if the consumer borrows $a-w_0$ at $r_f$ rate, i.e. it can make sense.
Feb
4
answered Maximization of CARA utility function: unique solution with an unbounded parameter?
Feb
2
comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby?
@JoshuaUlrich with "amateur traders" I meant "non-institutional traders", i.e. not necessarily unskilled traders, sorry for being not enough precise. I agree that the question was formulated unprofessionally, and if 4 people voted to close it down, then I'm ok with it.
Feb
1
answered How to price a calendar spread option?
Feb
1
comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby?
I wouldn't see it as a complete off topic. Comparing with institutional investors, amateur traders have another working framework: they have essential transaction costs, they are more risk-averse etc. i.e. there are some theoretical questions behind to be answered (for instance, how does mean-variance portfolio strategy looks like under transaction costs restriction)
Jan
30
awarded  Teacher
Jan
30
awarded  Supporter
Jan
29
answered How to obtain true probabilities from Black-Scholes?