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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year |
| seen | 2 days ago | |
| stats | profile views | 153 |
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Jul 6 |
answered | Why is the Drawdown measure not used for portfolio optimization? |
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Jul 6 |
answered | How do I model GARCH(1,1) volatility for historical indexes in Matlab? |
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Jul 5 |
comment |
How to better understand trading signals? This is really just a generic attribution problem (see papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134 for guidance on how to do that, but there's a large literature on other techniques). The biggest problem is that your holdings will not necessarily be constant over time. So in some periods you may be 100% long pork bellies and others you're 100% short the Sri Lankan rupee. The approach by Meucci I mention above can help with point in time attribution. |
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Jul 5 |
comment |
How can I use Entropy-pooling of Atillio Meucci to constuct a portfolio? Based on the comment, it seems he is wondering about how to construct CVaR views, not optimize the portfolio to minimize CVaR, which is what the butterfly example does. It is easy to take a view on the tail, but taking a view on the CVaR is slightly more complicated, which is why he has that separate paper on extreme views. |
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Jul 5 |
answered | Using rolling returns in a multivariate linear regression? |
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Jun 26 |
answered | Risk Decomposition of Index linked Bonds |
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Jun 26 |
comment |
How to Quantify Headwinds You may want to look up contribution to Value at Risk or Expected Shortfall. This is a more general approach: papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134 |
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Jun 24 |
comment |
Skewness and Kurtosis under aggregation Might want to apply the procedure described here: papers.ssrn.com/sol3/papers.cfm?abstract_id=1635484 |
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Jun 21 |
comment |
Bootstrapping spot rates from treasury yield curve That topic provided one technique to obtain the rates (linear interpolation). Is the answer your looking for the industry standard method, the best method, or something else? |
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Jun 20 |
comment |
Is a linear combination of GARCH processes also a GARCH process? True, but the answer I provided was mainly for illustrative purposes since you weren't particularly clear about under what conditions, what kind of Garch, etc. |
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Jun 19 |
answered | Is a linear combination of GARCH processes also a GARCH process? |
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Jun 16 |
comment |
What are the best sources for equity quantitative research? You should add quantivity's twitter feed. I check it every day. |
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Jun 13 |
comment |
How to annualize dividends paid at varying intervals? Try this instead: en.wikipedia.org/wiki/True_time-weighted_rate_of_return |
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Jun 12 |
comment |
How to annualize dividends paid at varying intervals? For calculating the statistics, I believe you'd want to look up the formula for a time weighted return. |
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Jun 12 |
answered | Should I use an arithmetic or a geometric calculation for the Sharpe Ratio? |
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May 31 |
comment |
Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? You might try picking up a book like QEPM by Chincarini and Kim. |
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May 31 |
answered | Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? |
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May 30 |
awarded | Revival |
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May 29 |
answered | statistical arbitrage option overlay strategies / volatility trading |
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May 18 |
comment |
Measuring co-movement at non-constant intervals I'm not sure this is entirely what the OP is asking, but it seems like it is... |
