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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 3 months |
| seen | 44 mins ago | |
| stats | profile views | 659 |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios I never claimed utility is a great way to compare two risky portfolios. It's the same academic garbage as CE. Garbage in garbage out. Sorry but when one has to trade risk in the hundreds of millions or more it comes down to weighing tons of different defining variables not utility or cash equivalents. Well I respect your answer just strongly disagree with it. Neither CE nor utility are acceptable ways to rank or value risky portfolios IMHO. Just because 2 choices are equally bad does not mean someone has to chose one of them anyway. |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios Think about it this way: you apply for a job. You have or don't have many properties that may qualify or disqualify you from the job. Now a service company sells a new software to all hiring managers claiming a single number can be attached to each human being to rank them relative to their peers. Great idea? Well not really cause a great education may be completely worthless if the job description is about shoveling soil or picking apples on a plantation. |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios I found your reference and I stand by my claim that the assumptions made are entirely unrealistic: First of all you need as input a risk tolerance metric, as I said there is no way to map a MV portfolio to CE without assumptions, in this case a risk tolerance level.More importantly, this risk tolerance level is different for every person on this planet. Thus the authors further use as input expected utility. For them this comes down to a logarithmic function. Now, how many more simplifying assumptions you want to apply to rape this poor portfolio just to squeeze out a single number? |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios this only works if the portfolio is a risk free portfolio. As soon as you introduce risk the CE can be identical for two portfolios with entirely different risk reward profiles. Hence my criticism of the simplifying assumptions made in the application of CE. By the way could you please cite the exact paper and page you reference as your book just contains a bunch of academic papers. |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios care to back up your claim? How do you get from a risky portfolio to Cash Equivalent? To be honest I do not even know what CE is supposed to be (in the context of representing a risky portfolio), but what I know is that a single variable cannot describe nor properly represent a non-trivial risk/return construct. |
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Mar 7 |
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Comparing Cash Equivalent of risky portfolios @AlexeyKalmykov, care to elaborate? How would you define CE as functional output of a risky portfolio? |
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Mar 6 |
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How to implement a long-term trade on oil? @WilliamS.Wong, are you a broker? "Seems silly not to..."? So, what if tomorrow the Iran signs a proliferation agreement with the US? What if we all enjoy more world peace next year than this? What if fracking is further advanced and made less environmentally harmful? What if politics in Venezuela change and a peace and trade agreement with the US is signed? You cannot imagine oil to trade at 40-50 next year? And of course there is no reason for such backwardation right? Silly me then... |
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Mar 6 |
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How to model housing loan market? So, I highly recommend you to get back to your boss and ask whether his inquiry only focuses on the Singapore housing market, over what time horizon, what type of housing, agree with him which data to include in your work. Not only will it potentially safe your ...., but I as boss appreciate those who know how to manage a project of such scope and the first step is defining scope. |
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Mar 6 |
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How to model housing loan market? Ok, here a recommendation that has served me very well with "funny bosses" in the past (and which I urged my subordinates to inquire from me as well at all times): Always, always ask for a clear scope, intention, and level of detail required before you agree to do any job. In that way it is well defined what is asked of you and whether your later delivered work is meeting the target or not. Don't ever let your boss get off the hook with "please model the housing market" comments by him/her. |
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Mar 4 |
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How to implement a long-term trade on oil? sorry I meant that the curve is priced in not the futures rolls. |
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Mar 4 |
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How to implement a long-term trade on oil? that won't work because the future rolls are priced into the swap spread. Such swaps are generally not hedged with physical oil contracts but through forwards, but in either way the hedge is fully exposed to the curve. You are thus subject to the issue that SRKX pointed out in point 2. |
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Mar 4 |
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Does DOM trading using broker data make any sense? Look at who uses X_Trader by Trading Technologies then you can answer the question to yourself. Are you trying to start up a brokerage or why all those odd broker questions? |
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Mar 3 |
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volatility Table and BS formula You did not provide sufficient information to answer that question. You need to check out the specific day count convention that applies to your product and market. By the way if this is just a modeling exercise then you can call the shots yourself as there is no contract in which two parties agree on the exact expiration date. There is no single right or wrong answer here if no contract is involved. Some fully count weekends others don't and again others partially include them. I recommend reading Taleb's "Dynamic Hedging" for more detail. |
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Mar 3 |
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volatility Table and BS formula No for any tenor you should optimally derive the precise expiration date using local market conventions. |
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Mar 3 |
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volatility Table and BS formula generally yes. Its much more precise |
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Mar 3 |
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Is it worth preserving orderbook structure when building it from individual orders? @chrisaycock, just apologized above, you guys are absolutely right. In this case volume should never be aggregated but orders kept segregated till the outstanding order volume was removed or executed. |
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Mar 3 |
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Is it worth preserving orderbook structure when building it from individual orders? @LouisMarascio, ups my wrong, yes I meant to refer to ITCH. And I stand corrected, you and Chrisaycock seem to be correct in reference to the orderID post an initial orderAdd. My apologies. |
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Mar 3 |
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Is it worth preserving orderbook structure when building it from individual orders? @LouisMarascio, admittedly I am not too knowledgeable about US feeds, but I am confused by your above statement. The link to the OUCH protocol does not point to that being a order-based feed which operates on IDs. Could you please help me to understand? Thanks. |
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Mar 2 |
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effectiveness of linear regression in prediction a) Linear regression is not used in price prediction beyond retail charting products, at least I have not heard of any quant who survived more than a week pitching to his boss the idea to predict asset prices through application of linear regression. b) You are asking for the holy grail. Sorry to sound so extremely selfish, but if I (insert anyone else for that matter) found an approach that worked all the time what do you think the chance would be of me sharing it with the rest of the world? Study about Kalman filters and you are already miles ahead of the pack |
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Mar 2 |
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Good Model Calibration Books/Papers for Common Option Pricing Models They are each calibrated differently. You need to be more specific if you look for help. |
