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Jun
20
comment Controling ex-post volatility by ex-ante limits
If people ask, I just tell them that the tracking error limit is a ex ante guideline, rather than an ex post objective. Maybe not the best solution, but no one has complained. Also, what I referring to was whether the portfolio would have better performance with the ex post rule vs. the ex ante rule, not necessarily whether the ex post tracking bound would be contained (as I believed you that it would work as I had tried something similar before).
Jun
13
comment Controling ex-post volatility by ex-ante limits
What you're doing makes sense. I feel like I've done something similar before in my backtesting, but it seemed more complicated than just a regular constant ex ante limit, which works well enough. The bigger question is if there is an advantage to doing this or not.
Jun
12
comment Intuition behind interest rate models
See Section 3.1.2 symmys.com/sites/default/files/…
Jun
3
comment How do I do a mean variance optimization with constraints?
Before I do an optimization, I try to verify that the objective function, its derivatives, the constraints, and derivatives of constraints are all right. Beyond that, I don't use cvxopt so really can't provide more guidance.
Jun
2
comment How do I do a mean variance optimization with constraints?
Any upper or lower bound can be expressed by $A<b$. Just append an identity matrix to $A$ and whatever the upper bound is to $b$ $n$ times.
May
21
comment After PCA on original factors, how to tell which original factors are dominant?
math.nyu.edu/faculty/avellane/LalouxPCA.pdf
May
20
answered After PCA on original factors, how to tell which original factors are dominant?
May
20
comment After PCA on original factors, how to tell which original factors are dominant?
It is usually possible to say a how much a particular entry (year in your example) contributed to a particular eigenvector (which I can provide an answer for), but I'm not sure you can do the same across all of them, if that's what you're asking.
May
20
comment After PCA on original factors, how to tell which original factors are dominant?
What do you mean by original factors?
May
20
comment Trend estimation techniques
You might find this informative. papers.ssrn.com/sol3/papers.cfm?abstract_id=2289097
May
19
comment How can I calculate Fama-French betas for a particular stock?
en.wikipedia.org/wiki/Linear_regression
May
19
comment Relationship between Large Cap and Small Cap Volatility
It seems like the explanations on the link @vonjd provided cover the sort of basic explanation (financial crisis). What else are you looking for?
May
14
revised What is the motivation for index benchmark?
deleted 1 character in body
May
14
comment Calculating Bollinger Band Correctly
@Bach I second the recommendation on providing more code (or perhaps a simplified version that can reproduce the plot from scratch).
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
I don't have access to that paper. I suggest you get a copy of it from your library. If you have any questions, your professor is likely to be able to provide better answers on this type of question than this site will.
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
This one (found simply by googling Peter Diamond 1967)? ibe.eller.arizona.edu/docs/2008/Segal/…
May
13
comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits?
If you're a student, then you can typically access papers at your library. It's not quite clear to me what you're asking. You might find this informative: papers.ssrn.com/sol3/papers.cfm?abstract_id=146148
May
12
comment How to price long dated options most efficiently?
@MattWolf You may want to add that comment as an answer.
May
7
comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R?
Haven't done any time-varying copula modeling in a while. Maybe post a separate question.
May
7
comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R?
I'm not familiar with the BB terminology. You might have to just write your own.