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visits member for 2 years, 5 months
seen Jul 8 at 14:09

Jan
27
comment How are the Hamilton–Jacobi–Bellman equations used to solve optimal control problems?
Bjoerk - Arbitrage Theory in Continuous Time describes this extensively in Chapter 19.
Sep
25
comment Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?
I see no reason you shouldn't be able to apply it to any market, provided you have the data. However it is up to you to test your results; we do not provide help for developing trading strategies.
Sep
22
comment Is there a contradiciton between option prices being martingales and the use of options for speculation?
possible duplicate of How does the "risk-neutral pricing framework" work?
Jul
14
comment What is (High-Low) and (Open-Close) spread?
yeah, thats correct.
Jul
14
comment Recommendations for Example Cross Sectional Dataset
If you look specifically for datasets to learn a language, say, R or matlab, there are many datasets (such as mtcars) provided as packages and the majority of tutorial draws from these. These are generally used to ensure that the results in exercises are identical with the tutorial.
Jul
4
comment Bracket-Notation in SDEs
Thanks to all of you!
Jul
2
comment Bracket-Notation in SDEs
Well I assume it's his personal way of writing squared Brownian motions, however he never defines it. Does this notation by any convention carry additional information?
Jun
25
comment Black-Scholes fastest computation method
Can you elaborate on what data you have given and what you intend to do with it? I don't really see need for a numerical method yet, but perhaps I'm just looking from the wrong angle here...
Apr
22
comment Mean-variance minimizser
I dont see a question?
Apr
22
comment portfolio optimization with a loop
Could you clarify your question? I don't really understand your problem...
Mar
29
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
Yes, you are absolutely right. This method works only for assets with very similar sources of risk, and if unsystematic factors can be considered negligible. I was hoping that the context made that clear. Also, we did not analyze the stability of the correlations, but compared a few more-or-less arbitrary periods, which were mostly stable for the REIT indices within Europe.
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
...so for our application, length of the original time series didn't matter much, since we compared country indices and then adjusted the Dutch data to match our and stiched the series together.
Mar
28
comment Portfolio risk-return when assets have limited and inconsistent historical data / time series?
In our case alternatives were obvious - REITs (think stocks on real estate) were available in several European countries for +10 years, but were recently introduced in Germany (as a new legal form). So all we had to do was find the series for countries were REITs were available, then we looked at correlations among multiple lead indices (i.e. DAX for Germany, AEX Netherlands) and picked that country with the high correlations over most indices, and ended up with Netherlands. Honestly, we looked at it, and picked by guts ;-) But again, that was only a client presentation, not real research.
Mar
18
comment Kolmogorov-Smirnov test
I believe Chris' point is that even if you can prove normality, how does this allow you to infer efficient markets? You can use a K-S-Test to do that, but it would not allow you to make statements about whether the market is an efficient one.
Mar
14
comment What is the expected return I should use for the momentum strategy in MV optimization framework?
Is this, from your experience, a common way to develop a strategy for asset managers? I have worked for four different companies (three internships though), all did something similar, but it didn't feel as sophisticated as I expected it to be...
Feb
22
comment Why FX Vanilla Options are quoted in volatility
Sorry, that was not my point. Freddy gave a much better explanation, its about simplifying the set of parameters you are agreeing upon which reduces complexity. The BS-Model is common knowledge, and everybody knows how it works. You can simply translate back and forth between prices and BS-IVs and if you want to use your own model, just use that. Your specific assumptions you mention (proprietary valuation models) do not matter here.
Dec
9
comment Interpretation of Macaulay Duration
You made a mistake with the bond pricing. I've added and explained the example from the picture. Thanks to chrisaycock for the edit!