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Aug
24
comment Explain equation to calculate CDS spread
Can you cite the source of the equation please?
Aug
14
answered Is it realistic to assume that the current price of a stock takes into account the probability of it going up or down in the future?
Aug
14
comment How to evaluate minimum-variance strategies against perfect information mvp
Depends on what you're trying to capture and your actual research question. IMO you would do as you would normally except use the future data.
Aug
13
comment How to evaluate minimum-variance strategies against perfect information mvp
Daily, or the highest frequency you have to best estimate the covariance. You could also use the weekly returns but mathematically speaking you will run into issues due to the lack of observation.
Aug
12
answered How to evaluate minimum-variance strategies against perfect information mvp
Aug
12
revised Calculate turnover for portfolio
added 42 characters in body
Aug
12
revised Calculate turnover for portfolio
added 393 characters in body
Aug
12
answered Calculate turnover for portfolio
Aug
4
comment Risk budgeting for Non linear Portfolios
the approach works for any asset class that is marked to market. Generally speaking you will need to create implied histories which can be tricky for options
Aug
4
comment Tools/R-code to create gain/loss-asymmetry plots
Just added that in
Aug
4
revised Tools/R-code to create gain/loss-asymmetry plots
Added what I think you wanted from comments
Aug
4
revised Tools/R-code to create gain/loss-asymmetry plots
added 223 characters in body
Aug
4
answered How to create a basket of currency pairs with the lowest correlation in R?
Aug
4
revised Tools/R-code to create gain/loss-asymmetry plots
added 462 characters in body
Aug
4
comment Tools/R-code to create gain/loss-asymmetry plots
Got it, amended answer. Will add the asymmetry plot later.
Aug
4
revised Tools/R-code to create gain/loss-asymmetry plots
modified answer to suit clarification in comments
Jul
31
comment Tools/R-code to create gain/loss-asymmetry plots
You would use the start of the gain or drawdown till end for days and return at each point in time
Jul
31
comment Rebalancing portfolio weights
The user might be interested in PortfolioAnalytics which is in the same family as PerformanceAnalytics as it has easy to use functions which take care of all the heavy lifting
Jul
31
answered Risk budgeting for Non linear Portfolios
Jul
31
comment Gain/loss-asymmetry in artificial financial markets?
Theoretically this should result from some risk aversion in the utility function forcing multiple agents to go to a lower risk asset at the same time, you will need heterogenous agents for this to work (in order for your market to clear). From my last survey of the agent based modelling work on this there was not much done. This is not a "good" answer but may set you on the right direction in finding "useful" utility functions that can drive the behaviour to obtain this fact.