243 reputation
19
bio website none
location Connecticut
age 36
visits member for 2 years, 9 months
seen Apr 29 at 20:33

Financial analyst


Jul
2
awarded  Curious
Feb
16
awarded  Commentator
Feb
16
comment Is there any academic material regarding robust optimization with fixed transaction costs?
That Kolm presentation has a nice bit on SOCP optimization with fixed transaction costs. Thank you.
Feb
16
accepted Is there any academic material regarding robust optimization with fixed transaction costs?
Feb
13
answered Is it wrong to use 'real world' probabilities for option valuation?
Feb
9
comment Is there any academic material regarding robust optimization with fixed transaction costs?
Saw that paper ... believe it deals with linear transaction costs.
Feb
9
revised Is there any academic material regarding robust optimization with fixed transaction costs?
deleted 2 characters in body
Feb
9
comment Is there any academic material regarding robust optimization with fixed transaction costs?
Silly on my part ... meant combinatorial decision variables.
Feb
9
revised Is there any academic material regarding robust optimization with fixed transaction costs?
constants -> constraints
Feb
9
asked Is there any academic material regarding robust optimization with fixed transaction costs?
May
3
revised BSYM for historical tickers
added 373 characters in body
May
3
comment BSYM for historical tickers
Sorry, perhaps my question is phrased poorly. I'm wondering why there isn't a record showing that for some period of time, Vivendi used 'V'. And what is the unique identifier of that security? In other words, does the current "Equity_Common_Stock_1_20130502.txt" have survivorship issues? Or do I just have to trust that what Bloomberg currently has listed as "VIVHY" is the same security as that which used to be listed under "V" (which I don't think is right, btw)?
May
3
asked BSYM for historical tickers
Apr
27
comment Why do expected return models and risk models use different factors?
I get that, but does that mean that the "factor alignment problem" discussed by Axioma and MSCI Barra doesn't exist? Or that they are driven by something other than the two models having different factors?
Apr
27
comment Why do expected return models and risk models use different factors?
Would my alpha model need to include at least all the factors included in the risk model? If not, wouldn't the alpha model's alpha improperly include a piece of beta (as defined in the risk model)?
Apr
23
comment Industry factors without GICS
Even if I use PCA to generate an accurate risk model, won't there be times where I want a more easily interpreted model (see this Q&A when doing performance reporting, for example)?
Apr
22
asked Industry factors without GICS
Feb
28
awarded  Yearling
Aug
15
comment T-note returns from T-note yields … derivation of Damodaran's formula
Silly question, but why wouldn't I look at a 9-year annuity (i.e. the original 10-year annuity less the 1 year of cash flow from year 1)?
Aug
14
accepted Creating an n-factor Certainty Equivalent Discounting Formula