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 Yearling
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Jul
7
answered Multi-asset class allocation
Jun
28
comment Multi-asset class allocation
Therefore I'd like to keep this open a little longer to see if someone has fresh ideas or sources, and perhaps sprinkle some bounty. Depending on how the project goes, I'll post our approach. I appreciate your answer and the link to Angs book especially, I was stuck with chincarini and I'm not too happy with it.
Jun
28
comment Multi-asset class allocation
@vonjd Thanks, while your answer has some helpful points to start with, none of the answers actually answers the question of how to generate a multi-asset portfolio. An LDI-structure is about increasing the interest rate sensitivity to match (interest-sensitive) stochastic liabilities, and factor based investing is concerned with individual stocks, and mostly used in equity. While both concepts are great, I am looking to create a dynamic portfolio structure that balances equity and bonds by playing covariance against duration (and against 1/N diversification).
Jun
17
asked Multi-asset class allocation
May
18
awarded  Yearling
Feb
26
answered Stock Returns Distribution in Heston Model
Feb
10
answered The importance of good optimizers in Portfolio Optimization
Jan
17
comment Where can I find US public company bankruptcy data
You're right, my mistake. Check the other one.
Jan
17
revised Where can I find US public company bankruptcy data
added 142 characters in body
Jan
16
answered Where can I find US public company bankruptcy data
Jan
16
comment I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?
You're not mistaken, and of course you capture correlation: One asset goes down, another one goes up -> Portfolio NAV stays the same. That's correlation at work. You can actually trade effect this by selling a call on an index, while buying calls on the index' constituents. This is called dispersion trading. The variance of your portfolio is defined by its returns, and they will be the same.
Jan
15
answered I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?
Oct
25
answered Historical data resources for Indian market
Oct
25
answered Understanding how to calculate tracking error
Oct
20
awarded  Tumbleweed
Oct
13
asked Price of a composite option
Aug
22
reviewed No Action Needed Markit PMI vs ISM PMI
Jul
25
comment Opposite of Tail-Risk Hedge (Established Vocabulary)
Thanks for your ideas so far. It seems some clarification is necessary: The focus should lie on protective puts near the money, as opposed to far out of the money, which only hedges tail risk. For now, I'm using the term "near-the-money hedge". One could also imagine other instruments, e.g. cds payer swaptions, to implement it.
Jul
22
asked Opposite of Tail-Risk Hedge (Established Vocabulary)
Jun
4
answered Determining optimal trading signals (buy/sell) from past data